On the extremal dependence coefficient of multivariate distributions

By Gabriel Frahm. 2006

57 citations recorded by the source corpus.

Subfields: Finance, Global and Planetary Change, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/6d77e9bbc4e4b132387fc8db399d282ab9a4e5c0

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Yannan Sun
2. Jan-Frederik Mai
3. Matthias Scherer
4. Haijun Li
5. L. Zhu
6. Andrew J. Patton
7. Harry Joe
8. Eike C. Brechmann

In Global and Planetary Change

1. Jan-Frederik Mai
2. Matthias Scherer
3. Yannan Sun
4. Haijun Li

In Statistics and Probability

1. Jan-Frederik Mai
2. Matthias Scherer
3. Yannan Sun
4. Haijun Li
5. L. Zhu

Citations in the corpus

• Reparameterizing Marshall–Olkin copulas with applications to sampling (2011, background): “4 agrees with the upper-extremal dependence coefficient, as introduced by 24 .”
• Copula-Based Measures of Multivariate Association (2010, unknown): “The following multivariate generalization of λL is considered in Frahm [32]:”
• Tail Dependence for Heavy-Tailed Scale Mixtures of Multivariate Distributions (2009, background): “formula for the extremal dependence of bivariate elliptical distributions is also derived in [ 8 ].”