On the extremal dependence coefficient of multivariate distributions

Publication date

2006-04-18

Document type

Forschungsartikel

Author

Organisational unit

University of Cologne

DOI

URI

Scopus ID

Publisher

Elsevier

Series or journal

Statistics & Probability Letters

ISSN

Periodical volume

76

Periodical issue

14

First page

1470

Last page

1481

Part of the university bibliography

Nein

Language

English

Keyword

Asymptotic dependence

Copula

Elliptical distribution

Extremal dependence

Tail dependence coefficient

Tail index

Version

Published version

Access right on openHSU

Metadata only access