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A new class of models for bivarate joint tails.

Abstract:

A fundamental issue in applied multivariate extreme value (MEV) analysis is modelling dependence within joint tail regions. The primary focus of this work is to extend the classical pseudo-polar treatment of multivariate extremes so as to develop an asymptotically motivated representation of extremal dependence that also encompasses asymptotic independence. Starting with the usual mild bivariate regular variation assumptions that underpin the coefficient of tail dependence as a measure of ext...

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Publisher:
Oxford-Man Institute of Quantitative Finance
Series:
Working Papers
Publication date:
2008-07-04
Language:
English
UUID:
uuid:87f5a2cf-ae23-4893-9512-2aa141b4b429
Local pid:
oai:economics.ouls.ox.ac.uk:13036
Deposit date:
2011-08-16

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