Tail Dependence in Vine Copulae

Harry Joe
Additional contact information
Harry Joe: Department of Statistics, University of British Columbia, Vancover BC, Canada, V6T 1Z2, Canada

Chapter 8 in Dependence Modeling:Vine Copula Handbook, 2010, pp 165-187 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractDefinitions and properties of conditional and multivariate tail dependence functions are given and applied to vine copulae. We show that vine copulae can have flexible dependence with asymmetry in the joint upper and lower tails, by using appropriate choices of bivariate linking copulae that are reflection asymmetric and have upper/lower tail dependence parameters λL, λU that independently take values in (0, 1).

Keywords: Dependence Modeling; Joint Distributions; Copulae; Vines; Graphical Models; PCC (search for similar items in EconPapers)
Date: 2010
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.worldscientific.com/doi/pdf/10.1142/9789814299886_0008 (application/pdf)
https://www.worldscientific.com/doi/abs/10.1142/9789814299886_0008 (text/html)
Ebook Access is available upon purchase.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:wschap:9789814299886_0008

Ordering information: This item can be ordered from

Access Statistics for this chapter

More chapters in World Scientific Book Chapters from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().