Lower tail dependence for Archimedean copulas: Characterizations and pitfalls

By Arthur Charpentier, Johan Segers. 2007

63 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/ba88cc23ac97e051ccc4fb175dfcc9f3a7d4f1bc

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Citations in the corpus

Dependences and volatility spillovers between the oil and stock markets: New evidence from the copula and VAR-BEKK-GARCH models (2020, unknown): “the nonlinear relationship, including tail dependence (Charpentier and Segers, 2007).”
Distorted Copulas: Constructions and Tail Dependence (2010, background): “It has originated from the study of distorted probability distribution functions (especially, power distortions) and has been considered by several authors like Frees and Valdez (1998), Durrleman, Nikeghbali, and Roncalli (2000), Genest and Rivest (2001), Durante and Sempi (2005a), Klement, Mesiar, ”
Asymptotics of random contractions (2010, background): “…2004), Jessen and Mikosch (2006), D’Auria and Resnick (2006, 2008), Tang (2006, 2008), Denisov and Zwart (2007), Pakes and Navarro (2007), Resnick (2007), Beutner and Kamps (2008), Charpentier and Segers (2007, 2009), Hashorva (2008, 2009, 2010), Hashorva and Pakes (2010), Liu and Tang (2010).”
Absolutely Continuous Copulas with Given Diagonal Sections (2008, background): “…hence, tail dependence coefficients) have been largely considered in several financial applications: see, for example, Albrecher et al. (2006), Charpentier and Segers (2007), Frahm et al. (2005), Juri and Wüthrich (2002), Malevergne and Sornette (2006), Schmidt and Stadtmüller (2006), and…”
Construction of asymmetric multivariate copulas (2008, background): “h1k(x) = x δk , h2k(x) = 2x − xk , where γ ∈ (0,+∞), δk ∈ [1, 2], k = 1, .”
Multivariate Copula Analysis Toolbox (MvCAT): Describing dependence and underlying uncertainty using a Bayesian framework (2017, methodology): “Multivariate methods and copulas have been used in many fields of study including finance [Rachev, 2003], insurance [Charpentier and Segers, 2007], integrated risk management [Embrechts et al.”
Spatial contagion between financial markets: a copula-based approach (2010, methodology): “In some cases, explicit expressions for threshold copulas CR can be given: see, for example, [23, 26 , 27, 31].”
Asymptotics of empirical copula processes under non-restrictive smoothness assumptions (2010, background): “ay fail to exist altogether when uj = 0. For instance, let d = 2 and let φ(u) = − R1 u φ′(s)ds where φ′ is the piecewise linear function with knots φ′(2−k) = −2k for k ∈ {0,1,2,...}; see Theorem 2 in Charpentier and Segers (2007). Then one can show that C(u1,u2)/u1 fails to converge as u1 ↓ 0 for u2”