Tail dependence functions and vine copulas

Joe, Harry, Li, Haijun and Nikoloulopoulos, Aristidis K (2010) Tail dependence functions and vine copulas. Journal of Multivariate Analysis, 101 (1). pp. 252-270.

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Abstract

Tail dependence and conditional tail dependence functions describe, respectively, the tail probabilities and conditional tail probabilities of a copula at various relative scales. The properties as well as the interplay of these two functions are established based upon their homogeneous structures. The extremal dependence of a copula, as described by its extreme value copulas, is shown to be completely determined by its tail dependence functions. For a vine copula built from a set of bivariate copulas, its tail dependence function can be expressed recursively by the tail dependence and conditional tail dependence functions of lower-dimensional margins. The effect of tail dependence of bivariate linking copulas on that of a vine copula is also investigated.

Item Type: Article
Faculty \ School: Faculty of Science > School of Computing Sciences
Depositing User: Vishal Gautam
Date Deposited: 04 Mar 2011 08:58
Last Modified: 21 Apr 2020 17:04
URI: https://ueaeprints.uea.ac.uk/id/eprint/22918
DOI: 10.1016/j.jmva.2009.08.002

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