Lower Tail Dependence for Archimedean Copulas: Characterizations and Pitfalls
Copyright policy )Lower Tail Dependence for Archimedean Copulas: Characterizations and Pitfalls
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- Université Catholique de Louvain Belgium
- École Nationale de la Statistique et de l'Administration Économique France
- INSEE France
- National Institute of Statistics and Economic Studies France
- Tilburg University Netherlands
Archimedean copula, Measures of association (correlation, canonical correlation, etc.), tail dependence, Archimedean copula;regular variation;tail dependence;de Haan class, Archimedean copula; regular variation; tail dependence; de Haan class, regular variation, de Haan class, Characterization and structure theory for multivariate probability distributions; copulas, jel: jel:C16, jel: jel:C14
Archimedean copula, Measures of association (correlation, canonical correlation, etc.), tail dependence, Archimedean copula;regular variation;tail dependence;de Haan class, Archimedean copula; regular variation; tail dependence; de Haan class, regular variation, de Haan class, Characterization and structure theory for multivariate probability distributions; copulas, jel: jel:C16, jel: jel:C14
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