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Comparison of non-nested models under a general measure of distance. Journal of Statistical Planning and Inference, 170, pp.166-185., 2016.
Tail-weighted measures of dependence. Journal of Applied Statistics, 42, pp.614-629., 2015.
Strength of tail dependence based on conditional tail expectation. Journal of Multivariate Analysis, 123, pp.143-159., 2014.
Tail comonotonicity and conservative risk measures. ASTIN Bulletin, 42, pp.601-629., 2012.
Tail comonotonicity: Properties, constructions, and asymptotic additivity of risk measures. Insurance Mathematics & Economics, 51, pp.492-503., 2012.
Tail risk of multivariate regular variation. Methodology and Computing in Applied Probability, 13, pp.671-693., 2011.
Range of correlation matrices for dependent random variables with given marginal distributions. In Advances in Distribution Theory, Order Statistics, and Inference. Advances in Distribution Theory, Order Statistics, and Inference. Birkhauser Boston, pp. 125-142., 2006.