Extreme behaviour for bivariate elliptical distributions

By B. Abdous, Anne-Laure Fougères, Kilani Ghoudi. 2005

66 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/a54df7eaa27891087a4568c494c090b7c95ce74f

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Citations in the corpus

Multivariate conditional versions of Spearman's rho and related measures of tail dependence (2007, unknown): “Regarding this drawback and other pitfalls, the reader may consult Schlather [19], Abdous et al. [1], and Frahm et al. [9].”
Semi‐Parametric Models for the Multivariate Tail Dependence Function – the Asymptotically Dependent Case (2008, background): “This can be interpreted as =∞, which indeed implies an asymptotically independent tail dependence function; we refer to Abdous et al. (2005) for a treatment of this case.”
On the construction of copulas and quasi-copulas with given diagonal sections (2008, background): “Tail dependence has been shown to be useful for describing this dependence, in particular in volatile and bear markets (Ané and Kharoubi, 2003; Malevergne and Sornette, 2006), and in contagion and stress testing concepts (Abdous et al., 2005).”
Extreme-value copulas (2009, result): “Building upon results in [39, 51], exactly the same extreme-value attractor is found in [2 ] for the more general class of (meta-)elliptical distributions whose generator has a regularly varying tail.”
Modelling across extremal dependence classes (2014, background): “The exact form of the limiting distribution for exceedances of R depends on Q: Abdous et al. (2005) considered extremes of elliptical distributions and provided details on the domain of attraction of the generator.”
Copula-Based Measures of Multivariate Association (2010, methodology): “C Continuity: If (Xn) n∈N is a sequence of random vectors and corresponding copulas (Cn)n∈N and if lim n→∞ Cn(u )= C(u) for all u ∈ [0, 1 ] d and a copula C, then”
Limit Laws for Random Vectors with an Extreme Component (2005, background): “We begin by discussing the following result learned from [1].”
Tails of correlation mixtures of elliptical copulas (2009, background): “Correlation mixtures over elliptical copulas being not necessarily elliptical anymore, the setting in our paper is not covered by the literature on tail behavior of elliptical distributions [8, 9, 10, 11, 12].”