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Tail order and intermediate tail dependence of multivariate copulas

JOURNAL ARTICLE published November 2011 in Journal of Multivariate Analysis

Authors: Lei Hua | Harry Joe

https://doi.org/10.1016/j.jmva.2011.05.011 Actions

Strength of tail dependence based on conditional tail expectation

JOURNAL ARTICLE published January 2014 in Journal of Multivariate Analysis

Authors: Lei Hua | Harry Joe

https://doi.org/10.1016/j.jmva.2013.09.001 Actions

Tail dependence functions and vine copulas

JOURNAL ARTICLE published January 2010 in Journal of Multivariate Analysis

Authors: Harry Joe | Haijun Li | Aristidis K. Nikoloulopoulos

https://doi.org/10.1016/j.jmva.2009.08.002 Actions

Nonparametric estimation of multivariate tail probabilities and tail dependence coefficients

JOURNAL ARTICLE published July 2019 in Journal of Multivariate Analysis

Research funded by NSERC, Canada (8698)

Authors: Pavel Krupskii | Harry Joe

https://doi.org/10.1016/j.jmva.2019.02.013 Actions

Higher order tail densities of copulas and hidden regular variation

JOURNAL ARTICLE published June 2015 in Journal of Multivariate Analysis

Research funded by NSF (DMS 1007556)

Authors: Haijun Li | Lei Hua

https://doi.org/10.1016/j.jmva.2014.12.010 Actions

Multivariate directional tail-weighted dependence measures

JOURNAL ARTICLE published April 2024 in Journal of Multivariate Analysis

Research funded by NSERC (GR010293)

Authors: Xiaoting Li | Harry Joe

https://doi.org/10.1016/j.jmva.2024.105319 Actions

Copulas, stable tail dependence functions, and multivariate monotonicity

JOURNAL ARTICLE published 1 January 2019 in Dependence Modeling

Authors: Paul Ressel

https://doi.org/10.1515/demo-2019-0013 Actions

Extremal dependence of copulas: A tail density approach

JOURNAL ARTICLE published February 2013 in Journal of Multivariate Analysis

Research funded by NSF (CMMI 0825960,DMS 1007556)

Authors: Haijun Li | Peiling Wu

https://doi.org/10.1016/j.jmva.2012.07.005 Actions

A geometric investigation into the tail dependence of vine copulas

JOURNAL ARTICLE published July 2021 in Journal of Multivariate Analysis

Research funded by Engineering and Physical Sciences Research Council (EP/L015692/1,EP/P002838/1)

Authors: Emma S. Simpson | Jennifer L. Wadsworth | Jonathan A. Tawn

https://doi.org/10.1016/j.jmva.2021.104736 Actions

Tail dependence between order statistics

JOURNAL ARTICLE published February 2012 in Journal of Multivariate Analysis

Authors: Helena Ferreira | Marta Ferreira

https://doi.org/10.1016/j.jmva.2011.09.001 Actions

Erratum to “Construction of asymmetric multivariate copulas” [J. Multivariate Anal. 99 (2008) 2234–2250]

JOURNAL ARTICLE published April 2011 in Journal of Multivariate Analysis

Authors: Eckhard Liebscher

https://doi.org/10.1016/j.jmva.2010.12.004 Actions

On tail dependence coefficients of transformed multivariate Archimedean copulas

JOURNAL ARTICLE published February 2016 in Fuzzy Sets and Systems

Authors: Elena Di Bernardino | Didier Rullière

https://doi.org/10.1016/j.fss.2015.08.030 Actions

Tail dependence for multivariate t -copulas and its monotonicity

JOURNAL ARTICLE published April 2008 in Insurance: Mathematics and Economics

Authors: Yin Chan | Haijun Li

https://doi.org/10.1016/j.insmatheco.2007.08.008 Actions

Copula-based conditional tail indices

JOURNAL ARTICLE published May 2024 in Journal of Multivariate Analysis

Research funded by Natural Sciences and Engineering Research Council of Canada (GR009581,GR010293)

Authors: Vincenzo Coia | Harry Joe | Natalia Nolde

https://doi.org/10.1016/j.jmva.2023.105268 Actions

Tail densities of skew-elliptical distributions

JOURNAL ARTICLE published May 2019 in Journal of Multivariate Analysis

Research funded by Shell United States (DMS 1007556) | Natural Sciences and Engineering Research Council of Canada (8698)

Authors: Harry Joe | Haijun Li

https://doi.org/10.1016/j.jmva.2019.01.009 Actions

Orthant tail dependence of multivariate extreme value distributions

JOURNAL ARTICLE published January 2009 in Journal of Multivariate Analysis

Authors: Haijun Li

https://doi.org/10.1016/j.jmva.2008.04.007 Actions

Multivariate tail dependence and local stochastic dominance

JOURNAL ARTICLE published May 2024 in Journal of Multivariate Analysis

Authors: Karl Friedrich Siburg | Christopher Strothmann

https://doi.org/10.1016/j.jmva.2023.105267 Actions

Tail dependence coefficients of multivariate elliptical distributions

PROCEEDINGS ARTICLE published July 2011 in 2011 International Conference on Multimedia Technology

https://doi.org/10.1109/icmt.2011.6002426 Actions

Multivariate dependence modeling based on comonotonic factors

JOURNAL ARTICLE published March 2017 in Journal of Multivariate Analysis

Research funded by NSERC Discovery Grant (8698)

Authors: Lei Hua | Harry Joe

https://doi.org/10.1016/j.jmva.2017.01.008 Actions

Relations Between Hidden Regular Variation and the Tail Order of Copulas

JOURNAL ARTICLE published March 2014 in Journal of Applied Probability

Authors: Lei Hua | Harry Joe | Haijun Li

https://doi.org/10.1017/s0021900200010068 Actions
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