Lower Tail Dependence for Archimedean Copulas: Characterizations and Pitfalls

Arthur Charpentier and J.J.J. Segers
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J.J.J. Segers: Tilburg University, Center For Economic Research

No 2006-29, Discussion Paper from Tilburg University, Center for Economic Research

Keywords: Archimedean copula; regular variation; tail dependence; de Haan class (search for similar items in EconPapers)
Date: 2006
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Journal Article: Lower tail dependence for Archimedean copulas: Characterizations and pitfalls (2007)
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