Modelling total tail dependence along diagonals

doi:10.1016/j.insmatheco.2007.01.002

CORC > 上海财经大学 > 上海财经大学

	Modelling total tail dependence along diagonals
	Zhang, Ming-Heng
刊名	INSURANCE MATHEMATICS & ECONOMICS
	2008-02
卷号	42 期号:1 页码:73-80
关键词	copula dependence structure model mixture quantitative risk total tail dependence
ISSN号	0167-6687
DOI	10.1016/j.insmatheco.2007.01.002
英文摘要	An approach to modelling total tail dependence beyond the main diagonals is proposed. The concept introduced combines the principal and minor diagonals to describe total extreme dependence. A framework is introduced for the measurement of total tail dependence Linder model mixture. Illustrations are presented using empirical data on stock market indices and exchange rates. An extension is provided to the multivariate case and total tail dependence is considered for model mixtures. (C) 2007 Elsevier B.V. All rights reserved.
WOS研究方向	Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences
语种	英语
出版者	ELSEVIER SCIENCE BV
WOS记录号	WOS:000253326600008
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/2552]
专题	上海财经大学
通讯作者	Zhang, Ming-Heng
作者单位	Shanghai Univ Finance & Econ, Sch Econ, Shanghai 200433, Peoples R China
推荐引用方式 GB/T 7714	Zhang, Ming-Heng. Modelling total tail dependence along diagonals[J]. INSURANCE MATHEMATICS & ECONOMICS,2008,42(1):73-80.
APA	Zhang, Ming-Heng.(2008).Modelling total tail dependence along diagonals.INSURANCE MATHEMATICS & ECONOMICS,42(1),73-80.
MLA	Zhang, Ming-Heng."Modelling total tail dependence along diagonals".INSURANCE MATHEMATICS & ECONOMICS 42.1(2008):73-80.