Chesneau, Christophe Some new ratio-type copulas: theory and properties. (English) Zbl 07570277 Appl. Math. 49, No. 1, 79-101 (2022). MSC: 62H05 62H20 PDF BibTeX XML Cite \textit{C. Chesneau}, Appl. Math. 49, No. 1, 79--101 (2022; Zbl 07570277) Full Text: DOI OpenURL
Xu, Qifa; Wang, Liukai; Jiang, Cuixia; Jia, Fu; Chen, Lujie Tail dependence network of new energy vehicle industry in mainland China. (English) Zbl 07565626 Ann. Oper. Res. 315, No. 1, 565-590 (2022). MSC: 91Gxx 62Pxx 05Cxx PDF BibTeX XML Cite \textit{Q. Xu} et al., Ann. Oper. Res. 315, No. 1, 565--590 (2022; Zbl 07565626) Full Text: DOI OpenURL
Wang, Tiandong; Resnick, Sidney I. Asymptotic dependence of in- and out-degrees in a preferential attachment model with reciprocity. (English) Zbl 07563220 Extremes 25, No. 3, 417-450 (2022). MSC: 05C82 60F15 60G70 62G32 PDF BibTeX XML Cite \textit{T. Wang} and \textit{S. I. Resnick}, Extremes 25, No. 3, 417--450 (2022; Zbl 07563220) Full Text: DOI OpenURL
Padoan, Simone A.; Rizzelli, Stefano Consistency of Bayesian inference for multivariate max-stable distributions. (English) Zbl 07547939 Ann. Stat. 50, No. 3, 1490-1518 (2022). MSC: 62G20 62G32 60G70 62C10 PDF BibTeX XML Cite \textit{S. A. Padoan} and \textit{S. Rizzelli}, Ann. Stat. 50, No. 3, 1490--1518 (2022; Zbl 07547939) Full Text: DOI OpenURL
Ferreira, Helena; Ferreira, Marta The stopped clock model. (English) Zbl 07547640 Depend. Model. 10, 48-57 (2022). MSC: 60G70 PDF BibTeX XML Cite \textit{H. Ferreira} and \textit{M. Ferreira}, Depend. Model. 10, 48--57 (2022; Zbl 07547640) Full Text: DOI OpenURL
Shyamalkumar, Nariankadu D.; Tao, Siyang \(t\)-copula from the viewpoint of tail dependence matrices. (English) Zbl 07543005 J. Multivariate Anal. 191, Article ID 105027, 22 p. (2022). MSC: 62H20 60G70 52B05 60-08 05-04 PDF BibTeX XML Cite \textit{N. D. Shyamalkumar} and \textit{S. Tao}, J. Multivariate Anal. 191, Article ID 105027, 22 p. (2022; Zbl 07543005) Full Text: DOI OpenURL
Martins, Ana Paula; Ferreira, Helena; Ferreira, Marta A new random field on lattices. (English) Zbl 1487.60101 Stat. Probab. Lett. 186, Article ID 109478, 10 p. (2022). MSC: 60G70 62G30 62E20 PDF BibTeX XML Cite \textit{A. P. Martins} et al., Stat. Probab. Lett. 186, Article ID 109478, 10 p. (2022; Zbl 1487.60101) Full Text: DOI OpenURL
Samanthi, Ranadeera Gamage Madhuka; Sepanski, Jungsywan On bivariate Kumaraswamy-distorted copulas. (English) Zbl 07535547 Commun. Stat., Theory Methods 51, No. 8, 2477-2495 (2022). MSC: 62-XX PDF BibTeX XML Cite \textit{R. G. M. Samanthi} and \textit{J. Sepanski}, Commun. Stat., Theory Methods 51, No. 8, 2477--2495 (2022; Zbl 07535547) Full Text: DOI OpenURL
Jaunė, Eglė; Šiaulys, Jonas Asymptotic risk decomposition for regularly varying distributions with tail dependence. (English) Zbl 07531273 Appl. Math. Comput. 427, Article ID 127164, 13 p. (2022). MSC: 91G05 62P05 60E15 PDF BibTeX XML Cite \textit{E. Jaunė} and \textit{J. Šiaulys}, Appl. Math. Comput. 427, Article ID 127164, 13 p. (2022; Zbl 07531273) Full Text: DOI OpenURL
Padoan, Simone A.; Stupfler, Gilles Joint inference on extreme expectiles for multivariate heavy-tailed distributions. (English) Zbl 07526574 Bernoulli 28, No. 2, 1021-1048 (2022). MSC: 62Gxx 62Pxx 62Hxx PDF BibTeX XML Cite \textit{S. A. Padoan} and \textit{G. Stupfler}, Bernoulli 28, No. 2, 1021--1048 (2022; Zbl 07526574) Full Text: DOI Link OpenURL
Flores, Yuri Salazar; Díaz-Hernández, Adán The general tail dependence function in the Marshall-Olkin and other parametric copula models with an application to financial time series. (English) Zbl 07523479 Sankhyā, Ser. B 84, No. 1, 146-187 (2022). MSC: 62-XX PDF BibTeX XML Cite \textit{Y. S. Flores} and \textit{A. Díaz-Hernández}, Sankhyā, Ser. B 84, No. 1, 146--187 (2022; Zbl 07523479) Full Text: DOI OpenURL
Carvalho, Marcela de Marillac; Sáfadi, Thelma Risk analysis in the brazilian stock market: copula-APARCH modeling for value-at-risk. (English) Zbl 07522698 J. Appl. Stat. 49, No. 6, 1598-1610 (2022). MSC: 62Pxx PDF BibTeX XML Cite \textit{M. de M. Carvalho} and \textit{T. Sáfadi}, J. Appl. Stat. 49, No. 6, 1598--1610 (2022; Zbl 07522698) Full Text: DOI OpenURL
Krupskii, Pavel; Joe, Harry Approximate likelihood with proxy variables for parameter estimation in high-dimensional factor copula models. (English) Zbl 07504804 Stat. Pap. 63, No. 2, 543-569 (2022). MSC: 62-XX PDF BibTeX XML Cite \textit{P. Krupskii} and \textit{H. Joe}, Stat. Pap. 63, No. 2, 543--569 (2022; Zbl 07504804) Full Text: DOI OpenURL
Chen, Xiaohong; Xiao, Zhijie; Wang, Bo Copula-based time series with filtered nonstationarity. (English) Zbl 07491180 J. Econom. 228, No. 1, 127-155 (2022). MSC: 62-XX 91-XX PDF BibTeX XML Cite \textit{X. Chen} et al., J. Econom. 228, No. 1, 127--155 (2022; Zbl 07491180) Full Text: DOI OpenURL
Qian, Huan; Geng, Bingzhen; Wang, Shijie Tail asymptotics of randomly weighted sums of dependent strong subexponential random variables. (English) Zbl 07488664 Lith. Math. J. 62, No. 1, 113-122 (2022). MSC: 62E20 60G70 PDF BibTeX XML Cite \textit{H. Qian} et al., Lith. Math. J. 62, No. 1, 113--122 (2022; Zbl 07488664) Full Text: DOI OpenURL
Marri, Fouad; Moutanabbir, Khouzeima Risk aggregation and capital allocation using a new generalized Archimedean copula. (English) Zbl 1484.91398 Insur. Math. Econ. 102, 75-90 (2022). MSC: 91G05 91G70 62H05 PDF BibTeX XML Cite \textit{F. Marri} and \textit{K. Moutanabbir}, Insur. Math. Econ. 102, 75--90 (2022; Zbl 1484.91398) Full Text: DOI arXiv OpenURL
Kim, Mihyun; Kokoszka, Piotr Extremal dependence measure for functional data. (English) Zbl 07482255 J. Multivariate Anal. 189, Article ID 104887, 20 p. (2022). MSC: 62Hxx 62G05 62G32 62H20 PDF BibTeX XML Cite \textit{M. Kim} and \textit{P. Kokoszka}, J. Multivariate Anal. 189, Article ID 104887, 20 p. (2022; Zbl 07482255) Full Text: DOI OpenURL
Tian, Weizhong; Li, Huihui; Gupta, Arjun K. Tail dependence of generalized modified skew slash distribution. (English) Zbl 1484.62024 J. Stat. Theory Pract. 16, No. 1, Paper No. 4, 15 p. (2022). Reviewer: Noureddine Daili (Sétif) MSC: 62E10 62H10 62E17 62H12 60E05 62H05 PDF BibTeX XML Cite \textit{W. Tian} et al., J. Stat. Theory Pract. 16, No. 1, Paper No. 4, 15 p. (2022; Zbl 1484.62024) Full Text: DOI OpenURL
Hu, Shuang; Peng, Zuoxiang; Nadarajah, Saralees Tail dependence functions of the bivariate Hüsler-Reiss model. (English) Zbl 1474.60139 Stat. Probab. Lett. 180, Article ID 109235, 11 p. (2022). MSC: 60G70 62F15 PDF BibTeX XML Cite \textit{S. Hu} et al., Stat. Probab. Lett. 180, Article ID 109235, 11 p. (2022; Zbl 1474.60139) Full Text: DOI OpenURL
do Nascimento, Fernando Ferraz; Azevedo, Andreson Almeida; Ferraz, Valmaria Rocha da Silva Regression models to dependence for exceedance. (English) Zbl 07484638 J. Appl. Stat. 48, No. 16, 3048-3059 (2021). MSC: 62F15 62G32 62Pxx PDF BibTeX XML Cite \textit{F. F. do Nascimento} et al., J. Appl. Stat. 48, No. 16, 3048--3059 (2021; Zbl 07484638) Full Text: DOI OpenURL
Mercadier, Cécile; Ressel, Paul Hoeffding-Sobol decomposition of homogeneous co-survival functions: from Choquet representation to extreme value theory application. (English) Zbl 07478931 Depend. Model. 9, 179-198 (2021). MSC: 62G32 26A48 26B99 44A30 62H05 PDF BibTeX XML Cite \textit{C. Mercadier} and \textit{P. Ressel}, Depend. Model. 9, 179--198 (2021; Zbl 07478931) Full Text: DOI OpenURL
Arnold, Barry C.; Arvanitis, Matthew On a general class of gamma based copulas. (English) Zbl 1476.62086 Depend. Model. 9, 374-384 (2021). MSC: 62H05 62E10 PDF BibTeX XML Cite \textit{B. C. Arnold} and \textit{M. Arvanitis}, Depend. Model. 9, 374--384 (2021; Zbl 1476.62086) Full Text: DOI OpenURL
Ferreira, Helena; Martins, Ana Paula; da Graça Temido, Maria Extremal behaviour of a periodically controlled sequence with imputed values. (English) Zbl 1483.62085 Stat. Pap. 62, No. 6, 2991-3013 (2021). MSC: 62G32 62D10 60G70 PDF BibTeX XML Cite \textit{H. Ferreira} et al., Stat. Pap. 62, No. 6, 2991--3013 (2021; Zbl 1483.62085) Full Text: DOI arXiv OpenURL
Goegebeur, Yuri; Guillou, Armelle; Ho, Nguyen Khanh Le; Qin, Jing Conditional marginal expected shortfall. (English) Zbl 1482.62105 Extremes 24, No. 4, 797-847 (2021). MSC: 62P05 62G32 62H12 62G20 91G70 PDF BibTeX XML Cite \textit{Y. Goegebeur} et al., Extremes 24, No. 4, 797--847 (2021; Zbl 1482.62105) Full Text: DOI OpenURL
Salazar Flores, Yuri; Díaz-Hernández, Adán Counterdiagonal/nonpositive tail dependence in vine copula constructions: application to portfolio management. (English) Zbl 1480.62215 Stat. Methods Appl. 30, No. 2, 375-407 (2021). MSC: 62P05 62H05 91G10 PDF BibTeX XML Cite \textit{Y. Salazar Flores} and \textit{A. Díaz-Hernández}, Stat. Methods Appl. 30, No. 2, 375--407 (2021; Zbl 1480.62215) Full Text: DOI OpenURL
De Luca, Giovanni; Zuccolotto, Paola Hierarchical time series clustering on tail dependence with linkage based on a multivariate copula approach. (English) Zbl 07443203 Int. J. Approx. Reasoning 139, 88-103 (2021). MSC: 68T37 PDF BibTeX XML Cite \textit{G. De Luca} and \textit{P. Zuccolotto}, Int. J. Approx. Reasoning 139, 88--103 (2021; Zbl 07443203) Full Text: DOI OpenURL
Einmahl, John H. J.; Segers, Johan Empirical tail copulas for functional data. (English) Zbl 1486.62140 Ann. Stat. 49, No. 5, 2672-2696 (2021). MSC: 62G32 62H05 62G05 62G20 62G30 62R10 60F17 60G70 PDF BibTeX XML Cite \textit{J. H. J. Einmahl} and \textit{J. Segers}, Ann. Stat. 49, No. 5, 2672--2696 (2021; Zbl 1486.62140) Full Text: DOI arXiv Link OpenURL
Ferreira, Helena; Ferreira, Marta Tail dependence and smoothness of time series. (English) Zbl 1474.62306 Test 30, No. 1, 198-210 (2021). MSC: 62M10 60G70 62G32 PDF BibTeX XML Cite \textit{H. Ferreira} and \textit{M. Ferreira}, Test 30, No. 1, 198--210 (2021; Zbl 1474.62306) Full Text: DOI arXiv OpenURL
Hazra, Arnab; Huser, Raphaël Estimating high-resolution red sea surface temperature hotspots, using a low-rank semiparametric spatial model. (English) Zbl 1478.62355 Ann. Appl. Stat. 15, No. 2, 572-596 (2021). MSC: 62P12 62F15 62H11 62H30 86A05 PDF BibTeX XML Cite \textit{A. Hazra} and \textit{R. Huser}, Ann. Appl. Stat. 15, No. 2, 572--596 (2021; Zbl 1478.62355) Full Text: DOI arXiv OpenURL
Fung, Thomas; Seneta, Eugene Tail asymptotics for the bivariate equi-skew generalized hyperbolic distribution and its variance-gamma special case. (English) Zbl 1473.62193 Stat. Probab. Lett. 178, Article ID 109182, 8 p. (2021). MSC: 62H20 62H05 PDF BibTeX XML Cite \textit{T. Fung} and \textit{E. Seneta}, Stat. Probab. Lett. 178, Article ID 109182, 8 p. (2021; Zbl 1473.62193) Full Text: DOI OpenURL
Márkus, László; Kumar, Ashish Modelling joint behaviour of asset prices using stochastic correlation. (English) Zbl 1475.91377 Methodol. Comput. Appl. Probab. 23, No. 1, 341-354 (2021). MSC: 91G30 60H30 PDF BibTeX XML Cite \textit{L. Márkus} and \textit{A. Kumar}, Methodol. Comput. Appl. Probab. 23, No. 1, 341--354 (2021; Zbl 1475.91377) Full Text: DOI OpenURL
Naeem, Muhammad Abubakr; Karim, Sitara Tail dependence between bitcoin and green financial assets. (English) Zbl 1471.91632 Econ. Lett. 208, Article ID 110068, 5 p. (2021). MSC: 91G99 62P05 62H05 62G32 PDF BibTeX XML Cite \textit{M. A. Naeem} and \textit{S. Karim}, Econ. Lett. 208, Article ID 110068, 5 p. (2021; Zbl 1471.91632) Full Text: DOI OpenURL
Tian, Yuan; Reich, Brian J. A Bayesian semi-parametric mixture model for bivariate extreme value analysis with application to precipitation forecasting. (English) Zbl 1476.62241 Stat. Sin. 31, No. 3, 1619-1641 (2021). MSC: 62P12 62H12 62H30 62M20 62G32 PDF BibTeX XML Cite \textit{Y. Tian} and \textit{B. J. Reich}, Stat. Sin. 31, No. 3, 1619--1641 (2021; Zbl 1476.62241) Full Text: DOI OpenURL
Cheng, Fengyang; Cheng, Dongya; Chen, Zhangting Asymptotic behavior for finite-time ruin probabilities in a generalized bidimensional risk model with subexponential claims. (English) Zbl 1475.62249 Japan J. Ind. Appl. Math. 38, No. 3, 947-963 (2021). MSC: 62P05 62E10 62E20 62G32 60G70 91G40 PDF BibTeX XML Cite \textit{F. Cheng} et al., Japan J. Ind. Appl. Math. 38, No. 3, 947--963 (2021; Zbl 1475.62249) Full Text: DOI OpenURL
Asenova, Stefka; Mazo, Gildas; Segers, Johan Inference on extremal dependence in the domain of attraction of a structured Hüsler-Reiss distribution motivated by a Markov tree with latent variables. (English) Zbl 1475.62161 Extremes 24, No. 3, 461-500 (2021). MSC: 62G32 62H22 60G70 05C05 62P12 PDF BibTeX XML Cite \textit{S. Asenova} et al., Extremes 24, No. 3, 461--500 (2021; Zbl 1475.62161) Full Text: DOI arXiv OpenURL
Krupskii, Pavel; Genton, Marc G. Conditional normal extreme-value copulas. (English) Zbl 1475.62163 Extremes 24, No. 3, 403-431 (2021). MSC: 62H05 60G70 62P20 62P35 PDF BibTeX XML Cite \textit{P. Krupskii} and \textit{M. G. Genton}, Extremes 24, No. 3, 403--431 (2021; Zbl 1475.62163) Full Text: DOI arXiv OpenURL
Kulik, Rafal; Spodarev, Evgeny Long range dependence of heavy-tailed random functions. (English) Zbl 1477.60061 J. Appl. Probab. 58, No. 3, 569-593 (2021). MSC: 60G10 60G60 60G15 60F05 PDF BibTeX XML Cite \textit{R. Kulik} and \textit{E. Spodarev}, J. Appl. Probab. 58, No. 3, 569--593 (2021; Zbl 1477.60061) Full Text: DOI arXiv OpenURL
Hashorva, Enkelejd; Padoan, Simone A.; Rizzelli, Stefano Multivariate extremes over a random number of observations. (English) Zbl 1473.62158 Scand. J. Stat. 48, No. 3, 845-880 (2021). MSC: 62H05 62G05 62G32 PDF BibTeX XML Cite \textit{E. Hashorva} et al., Scand. J. Stat. 48, No. 3, 845--880 (2021; Zbl 1473.62158) Full Text: DOI arXiv OpenURL
Kasper, Thimo M.; Fuchs, Sebastian; Trutschnig, Wolfgang On weak conditional convergence of bivariate Archimedean and extreme value copulas, and consequences to nonparametric estimation. (English) Zbl 1473.62160 Bernoulli 27, No. 4, 2217-2240 (2021). MSC: 62H05 62G05 62G32 PDF BibTeX XML Cite \textit{T. M. Kasper} et al., Bernoulli 27, No. 4, 2217--2240 (2021; Zbl 1473.62160) Full Text: DOI arXiv OpenURL
Genest, Christian; Jaworski, Piotr On the class of bivariate Archimax copulas under constraints. (English) Zbl 1467.62074 Fuzzy Sets Syst. 415, 37-53 (2021). MSC: 62H05 PDF BibTeX XML Cite \textit{C. Genest} and \textit{P. Jaworski}, Fuzzy Sets Syst. 415, 37--53 (2021; Zbl 1467.62074) Full Text: DOI OpenURL
Ji, Liuyan; Tan, Ken Seng; Yang, Fan Tail dependence and heavy tailedness in extreme risks. (English) Zbl 1467.91142 Insur. Math. Econ. 99, 282-293 (2021). MSC: 91G05 62P05 62H05 62G32 PDF BibTeX XML Cite \textit{L. Ji} et al., Insur. Math. Econ. 99, 282--293 (2021; Zbl 1467.91142) Full Text: DOI OpenURL
Jing, Haojie; Peng, Jiangyan; Jiang, Zhiquan; Bao, Qian Asymptotic estimates for ruin probabilities of a discrete-time risk model under double dependence structures and numerical simulations. (Chinese. English summary) Zbl 1474.62366 Adv. Math., Beijing 50, No. 2, 290-302 (2021). MSC: 62P05 91G05 91G70 62G32 PDF BibTeX XML Cite \textit{H. Jing} et al., Adv. Math., Beijing 50, No. 2, 290--302 (2021; Zbl 1474.62366) OpenURL
De Luca, Giovanni; Zuccolotto, Paola Regime dependent interconnectedness among fuzzy clusters of financial time series. (English) Zbl 07363876 Adv. Data Anal. Classif., ADAC 15, No. 2, 315-336 (2021). MSC: 62H30 62M10 PDF BibTeX XML Cite \textit{G. De Luca} and \textit{P. Zuccolotto}, Adv. Data Anal. Classif., ADAC 15, No. 2, 315--336 (2021; Zbl 07363876) Full Text: DOI OpenURL
Beck, Nicholas; Di Bernardino, Elena; Mailhot, Mélina Semi-parametric estimation of multivariate extreme expectiles. (English) Zbl 1467.62084 J. Multivariate Anal. 184, Article ID 104758, 23 p. (2021). MSC: 62H12 62G32 60F10 60G70 90C53 PDF BibTeX XML Cite \textit{N. Beck} et al., J. Multivariate Anal. 184, Article ID 104758, 23 p. (2021; Zbl 1467.62084) Full Text: DOI OpenURL
Simpson, Emma S.; Wadsworth, Jennifer L.; Tawn, Jonathan A. A geometric investigation into the tail dependence of vine copulas. (English) Zbl 1467.62079 J. Multivariate Anal. 184, Article ID 104736, 21 p. (2021). MSC: 62H05 62G32 60G70 PDF BibTeX XML Cite \textit{E. S. Simpson} et al., J. Multivariate Anal. 184, Article ID 104736, 21 p. (2021; Zbl 1467.62079) Full Text: DOI arXiv OpenURL
Huser, Raphaël; Opitz, Thomas; Thibaud, Emeric Max-infinitely divisible models and inference for spatial extremes. (English) Zbl 1467.62167 Scand. J. Stat. 48, No. 1, 321-348 (2021). MSC: 62P12 60G52 62G08 62G32 62M30 PDF BibTeX XML Cite \textit{R. Huser} et al., Scand. J. Stat. 48, No. 1, 321--348 (2021; Zbl 1467.62167) Full Text: DOI arXiv OpenURL
Beranger, Boris; Padoan, Simone A.; Sisson, Scott A. Estimation and uncertainty quantification for extreme quantile regions. (English) Zbl 1466.62291 Extremes 24, No. 2, 349-375 (2021); erratum ibid. 24, No. 2, 377-378 (2021). MSC: 62G08 62G32 62H12 60F10 62P12 PDF BibTeX XML Cite \textit{B. Beranger} et al., Extremes 24, No. 2, 349--375 (2021; Zbl 1466.62291) Full Text: DOI arXiv OpenURL
Shooter, Rob; Tawn, Jonathan; Ross, Emma; Jonathan, Philip Basin-wide spatial conditional extremes for severe ocean storms. (English) Zbl 1473.60087 Extremes 24, No. 2, 241-265 (2021). MSC: 60G70 62F15 62G32 62M30 62P12 PDF BibTeX XML Cite \textit{R. Shooter} et al., Extremes 24, No. 2, 241--265 (2021; Zbl 1473.60087) Full Text: DOI OpenURL
Saunders, K. R.; Stephenson, A. G.; Karoly, D. J. A regionalisation approach for rainfall based on extremal dependence. (English) Zbl 1481.60098 Extremes 24, No. 2, 215-240 (2021). Reviewer: Ravi Sreenivasan (Mysore) MSC: 60G70 62P12 62G32 62D05 PDF BibTeX XML Cite \textit{K. R. Saunders} et al., Extremes 24, No. 2, 215--240 (2021; Zbl 1481.60098) Full Text: DOI arXiv OpenURL
Rohrbeck, Christian; Simpson, Emma S.; Towe, Ross P. A spatio-temporal model for Red Sea surface temperature anomalies. (English) Zbl 1466.62425 Extremes 24, No. 1, 129-144 (2021). MSC: 62P12 62G32 62H11 62M30 60F10 60G15 PDF BibTeX XML Cite \textit{C. Rohrbeck} et al., Extremes 24, No. 1, 129--144 (2021; Zbl 1466.62425) Full Text: DOI OpenURL
Górecki, Jan; Hofert, Marius; Okhrin, Ostap Outer power transformations of hierarchical Archimedean copulas: construction, sampling and estimation. (English) Zbl 07345052 Comput. Stat. Data Anal. 155, Article ID 107109, 28 p. (2021). MSC: 62-XX PDF BibTeX XML Cite \textit{J. Górecki} et al., Comput. Stat. Data Anal. 155, Article ID 107109, 28 p. (2021; Zbl 07345052) Full Text: DOI arXiv OpenURL
Wang, Zhuo; Jiang, Yujing; Wan, Hui; Yan, Jun; Zhang, Xuebin Toward optimal fingerprinting in detection and attribution of changes in climate extremes. (English) Zbl 1457.62149 J. Am. Stat. Assoc. 116, No. 533, 1-13 (2021). MSC: 62G32 62M30 62P12 PDF BibTeX XML Cite \textit{Z. Wang} et al., J. Am. Stat. Assoc. 116, No. 533, 1--13 (2021; Zbl 1457.62149) Full Text: DOI OpenURL
Siburg, Karl Friedrich; Strothmann, Christopher A Markov product for tail dependence functions. (English) Zbl 1473.62168 J. Math. Anal. Appl. 498, No. 2, Article ID 124942, 29 p. (2021). MSC: 62H05 62H20 62G32 05A10 60J25 60J35 PDF BibTeX XML Cite \textit{K. F. Siburg} and \textit{C. Strothmann}, J. Math. Anal. Appl. 498, No. 2, Article ID 124942, 29 p. (2021; Zbl 1473.62168) Full Text: DOI arXiv OpenURL
Salazar Flores, Yuri; Díaz Hernández, Adán Regular variation, conditions of domain of attraction and the existence of the tail dependence function in the general dependence case: a copula approach. (English) Zbl 1464.62286 J. Stat. Theory Pract. 15, No. 1, Paper No. 9, 9 p. (2021). MSC: 62H05 62G05 62G32 62M10 60F10 60G55 62P05 PDF BibTeX XML Cite \textit{Y. Salazar Flores} and \textit{A. Díaz Hernández}, J. Stat. Theory Pract. 15, No. 1, Paper No. 9, 9 p. (2021; Zbl 1464.62286) Full Text: DOI OpenURL
Lai, Wing-Choong; Goh, Kim-Leng Copulas and tail dependence in finance. (English) Zbl 1455.62200 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 2499-2524 (2021). MSC: 62P05 62H05 PDF BibTeX XML Cite \textit{W.-C. Lai} and \textit{K.-L. Goh}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 2499--2524 (2021; Zbl 1455.62200) Full Text: DOI OpenURL
Zhu, Xiaoqian; Li, Jianping; Wu, Dengsheng Simultaneously capturing multiple dependence features in bank risk integration: a mixture copula framework. (English) Zbl 1454.91334 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1485-1518 (2021). MSC: 91G40 62P05 62H05 PDF BibTeX XML Cite \textit{X. Zhu} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1485--1518 (2021; Zbl 1454.91334) Full Text: DOI OpenURL
Kreuzer, Alexander; Czado, Claudia Efficient Bayesian inference for nonlinear state space models with univariate autoregressive state equation. (English) Zbl 07499294 J. Comput. Graph. Stat. 29, No. 3, 523-534 (2020). MSC: 62-XX PDF BibTeX XML Cite \textit{A. Kreuzer} and \textit{C. Czado}, J. Comput. Graph. Stat. 29, No. 3, 523--534 (2020; Zbl 07499294) Full Text: DOI OpenURL
Gomes, D. Prata; Neves, M. Manuela Extremal index blocks estimator: the threshold and the block size choice. (English) Zbl 07482679 J. Appl. Stat. 47, No. 13-15, 2846-2861 (2020). MSC: 62P12 90-08 62G32 62G05 62Pxx PDF BibTeX XML Cite \textit{D. P. Gomes} and \textit{M. M. Neves}, J. Appl. Stat. 47, No. 13--15, 2846--2861 (2020; Zbl 07482679) Full Text: DOI OpenURL
Chang, Bo; Joe, Harry Copula diagnostics for asymmetries and conditional dependence. (English) Zbl 07481495 J. Appl. Stat. 47, No. 9, 1587-1615 (2020). MSC: 62Pxx PDF BibTeX XML Cite \textit{B. Chang} and \textit{H. Joe}, J. Appl. Stat. 47, No. 9, 1587--1615 (2020; Zbl 07481495) Full Text: DOI OpenURL
Segers, Johan One- versus multi-component regular variation and extremes of Markov trees. (English) Zbl 1473.60086 Adv. Appl. Probab. 52, No. 3, 855-878 (2020). MSC: 60G70 62G32 62H12 PDF BibTeX XML Cite \textit{J. Segers}, Adv. Appl. Probab. 52, No. 3, 855--878 (2020; Zbl 1473.60086) Full Text: DOI arXiv OpenURL
Aldhufairi, Fadal A. A.; Sepanski, Jungsywan H. New families of bivariate copulas via unit Weibull distortion. (English) Zbl 1472.62071 J. Stat. Distrib. Appl. 7, Paper No. 8, 20 p. (2020). MSC: 62H05 62H10 60E05 PDF BibTeX XML Cite \textit{F. A. A. Aldhufairi} and \textit{J. H. Sepanski}, J. Stat. Distrib. Appl. 7, Paper No. 8, 20 p. (2020; Zbl 1472.62071) Full Text: DOI OpenURL
Scheffer, Marcus; Weiß, Gregor N. F. Extreme dependence in investor attention and stock returns – consequences for forecasting stock returns and measuring systemic risk. (English) Zbl 1466.91317 Quant. Finance 20, No. 3, 425-446 (2020). MSC: 91G15 91G45 62P05 62H05 PDF BibTeX XML Cite \textit{M. Scheffer} and \textit{G. N. F. Weiß}, Quant. Finance 20, No. 3, 425--446 (2020; Zbl 1466.91317) Full Text: DOI OpenURL
Shiryaeva, L. K. On tail dependence for three-parameter Grubbs’ copula. (English. Russian original) Zbl 1466.62329 Russ. Math. 64, No. 12, 46-66 (2020); translation from Izv. Vyssh. Uchebn. Zaved., Mat. 2020, No. 12, 51-73 (2020). MSC: 62H05 62G30 PDF BibTeX XML Cite \textit{L. K. Shiryaeva}, Russ. Math. 64, No. 12, 46--66 (2020; Zbl 1466.62329); translation from Izv. Vyssh. Uchebn. Zaved., Mat. 2020, No. 12, 51--73 (2020) Full Text: DOI OpenURL
Fontanari, Andrea; Cirillo, Pasquale; Oosterlee, Cornelis W. Lorenz-generated bivariate Archimedean copulas. (English) Zbl 1457.62156 Depend. Model. 8, 186-209 (2020). MSC: 62H05 62H10 62G30 60E15 PDF BibTeX XML Cite \textit{A. Fontanari} et al., Depend. Model. 8, 186--209 (2020; Zbl 1457.62156) Full Text: DOI OpenURL
Ferreira, Helena; Ferreira, Marta Dissecting the multivariate extremal index and tail dependence. (English) Zbl 1457.60076 REVSTAT 18, No. 4, 501-520 (2020). MSC: 60G70 PDF BibTeX XML Cite \textit{H. Ferreira} and \textit{M. Ferreira}, REVSTAT 18, No. 4, 501--520 (2020; Zbl 1457.60076) Full Text: arXiv Link OpenURL
Sepanski, Jungsywan H. A note on distortion effects on the strength of bivariate copula tail dependence. (English) Zbl 1456.62096 Stat. Probab. Lett. 166, Article ID 108894, 8 p. (2020). MSC: 62H05 62G32 PDF BibTeX XML Cite \textit{J. H. Sepanski}, Stat. Probab. Lett. 166, Article ID 108894, 8 p. (2020; Zbl 1456.62096) Full Text: DOI OpenURL
Sun, Ning; Yang, Chen; Zitikis, Ričardas A statistical methodology for assessing the maximal strength of tail dependence. (English) Zbl 1459.62074 ASTIN Bull. 50, No. 3, 799-825 (2020). MSC: 62G32 62H05 60G70 PDF BibTeX XML Cite \textit{N. Sun} et al., ASTIN Bull. 50, No. 3, 799--825 (2020; Zbl 1459.62074) Full Text: DOI OpenURL
Simpson, E. S.; Wadsworth, J. L.; Tawn, J. A. Determining the dependence structure of multivariate extremes. (English) Zbl 1451.62059 Biometrika 107, No. 3, 513-532 (2020). MSC: 62H12 62G32 62P12 86A05 PDF BibTeX XML Cite \textit{E. S. Simpson} et al., Biometrika 107, No. 3, 513--532 (2020; Zbl 1451.62059) Full Text: DOI arXiv OpenURL
Gregory, Alastair; Jana, Kaushik Space-efficient estimation of empirical tail dependence coefficients for bivariate data streams. (English) Zbl 07260661 Stat. Anal. Data Min. 13, No. 1, 14-30 (2020). MSC: 62-XX 68-XX PDF BibTeX XML Cite \textit{A. Gregory} and \textit{K. Jana}, Stat. Anal. Data Min. 13, No. 1, 14--30 (2020; Zbl 07260661) Full Text: DOI arXiv OpenURL
Mai, Jan-Frederik; Scherer, Matthias On the structure of exchangeable extreme-value copulas. (English) Zbl 1453.60042 J. Multivariate Anal. 180, Article ID 104670, 11 p. (2020). MSC: 60E07 62G32 62H05 65C10 PDF BibTeX XML Cite \textit{J.-F. Mai} and \textit{M. Scherer}, J. Multivariate Anal. 180, Article ID 104670, 11 p. (2020; Zbl 1453.60042) Full Text: DOI arXiv OpenURL
Li, Rong; Bi, Xiuchun; Zhang, Shuguang Large deviations for sums of claims in a general renewal risk model with the regression dependent structure. (English) Zbl 1447.62052 Stat. Probab. Lett. 165, Article ID 108857, 6 p. (2020). MSC: 62G32 62E20 60F10 PDF BibTeX XML Cite \textit{R. Li} et al., Stat. Probab. Lett. 165, Article ID 108857, 6 p. (2020; Zbl 1447.62052) Full Text: DOI OpenURL
Cang, Yuquan; Yang, Yang; Shi, Xixi A note on the uniform asymptotic behavior of the finite-time ruin probability in a nonstandard renewal risk model. (English) Zbl 1443.62337 Lith. Math. J. 60, No. 2, 161-172 (2020). MSC: 62P05 62E20 62G32 91G70 91B05 PDF BibTeX XML Cite \textit{Y. Cang} et al., Lith. Math. J. 60, No. 2, 161--172 (2020; Zbl 1443.62337) Full Text: DOI OpenURL
Boutahar, Mohamed; Kchaou, Imen; Reboul, Laurence Estimation of Pickands dependence function of bivariate extremes under mixing conditions. (English) Zbl 1443.62127 Lith. Math. J. 60, No. 2, 129-146 (2020). MSC: 62G32 62G10 62G07 62G20 62H05 62E20 60G10 PDF BibTeX XML Cite \textit{M. Boutahar} et al., Lith. Math. J. 60, No. 2, 129--146 (2020; Zbl 1443.62127) Full Text: DOI OpenURL
Shyamalkumar, Nariankadu D.; Tao, Siyang On tail dependence matrices. The realization problem for parametric families. (English) Zbl 1445.62127 Extremes 23, No. 2, 245-285 (2020). Reviewer: Denis Sidorov (Irkutsk) MSC: 62H20 62H05 60G70 68Q17 62-08 PDF BibTeX XML Cite \textit{N. D. Shyamalkumar} and \textit{S. Tao}, Extremes 23, No. 2, 245--285 (2020; Zbl 1445.62127) Full Text: DOI arXiv OpenURL
Goegebeur, Yuri; Guillou, Armelle; Ho, Nguyen Khanh Le; Qin, Jing Robust nonparametric estimation of the conditional tail dependence coefficient. (English) Zbl 1441.62141 J. Multivariate Anal. 178, Article ID 104607, 19 p. (2020). Reviewer: Wiesław Dziubdziela (Miedziana Góra) MSC: 62H12 62G32 62G35 62P12 PDF BibTeX XML Cite \textit{Y. Goegebeur} et al., J. Multivariate Anal. 178, Article ID 104607, 19 p. (2020; Zbl 1441.62141) Full Text: DOI HAL OpenURL
Escobar-Bach, Mikael; Goegebeur, Yuri; Guillou, Armelle Bias correction in conditional multivariate extremes. (English) Zbl 1439.62120 Electron. J. Stat. 14, No. 1, 1773-1795 (2020). MSC: 62G32 62H12 62G05 62G20 62L20 60F05 60G70 62P12 PDF BibTeX XML Cite \textit{M. Escobar-Bach} et al., Electron. J. Stat. 14, No. 1, 1773--1795 (2020; Zbl 1439.62120) Full Text: DOI Euclid OpenURL
Supper, Hendrik; Irresberger, Felix; Weiß, Gregor A comparison of tail dependence estimators. (English) Zbl 1441.62267 Eur. J. Oper. Res. 284, No. 2, 728-742 (2020). MSC: 62P05 62H05 91G30 PDF BibTeX XML Cite \textit{H. Supper} et al., Eur. J. Oper. Res. 284, No. 2, 728--742 (2020; Zbl 1441.62267) Full Text: DOI OpenURL
Cai, Juan-juan; Musta, Eni Estimation of the marginal expected shortfall under asymptotic independence. (English) Zbl 1444.62071 Scand. J. Stat. 47, No. 1, 56-83 (2020). Reviewer: Rózsa Horváth-Bokor (Budakalász) MSC: 62H12 62P12 PDF BibTeX XML Cite \textit{J.-j. Cai} and \textit{E. Musta}, Scand. J. Stat. 47, No. 1, 56--83 (2020; Zbl 1444.62071) Full Text: DOI arXiv OpenURL
Nasri, Bouchra R. On non-central squared copulas. (English) Zbl 1440.62189 Stat. Probab. Lett. 161, Article ID 108704, 10 p. (2020). MSC: 62H05 62H12 PDF BibTeX XML Cite \textit{B. R. Nasri}, Stat. Probab. Lett. 161, Article ID 108704, 10 p. (2020; Zbl 1440.62189) Full Text: DOI OpenURL
Mai, Jan-Frederik Canonical spectral representation for exchangeable max-stable sequences. (English) Zbl 1457.60053 Extremes 23, No. 1, 151-169 (2020). MSC: 60G09 60G70 60E07 PDF BibTeX XML Cite \textit{J.-F. Mai}, Extremes 23, No. 1, 151--169 (2020; Zbl 1457.60053) Full Text: DOI arXiv OpenURL
Leonelli, Manuele; Gamerman, Dani Semiparametric bivariate modelling with flexible extremal dependence. (English) Zbl 1436.62176 Stat. Comput. 30, No. 2, 221-236 (2020). MSC: 62G32 62H05 62G08 PDF BibTeX XML Cite \textit{M. Leonelli} and \textit{D. Gamerman}, Stat. Comput. 30, No. 2, 221--236 (2020; Zbl 1436.62176) Full Text: DOI OpenURL
Ferreira, M.; Ferreira, H. Tail dependence under sample failures. (English) Zbl 1436.62174 Theory Probab. Appl. 64, No. 4, 636-645 (2020) and Teor. Veroyatn. Primen. 64, No. 4, 798-810 (2019). MSC: 62G32 62M10 60G70 PDF BibTeX XML Cite \textit{M. Ferreira} and \textit{H. Ferreira}, Theory Probab. Appl. 64, No. 4, 636--645 (2020; Zbl 1436.62174) Full Text: DOI OpenURL
Herrmann, Klaus; Hofert, Marius; Mailhot, Mélina Multivariate geometric tail- and range-value-at-risk. (English) Zbl 1431.91441 ASTIN Bull. 50, No. 1, 265-292 (2020). MSC: 91G70 91G05 62P05 PDF BibTeX XML Cite \textit{K. Herrmann} et al., ASTIN Bull. 50, No. 1, 265--292 (2020; Zbl 1431.91441) Full Text: DOI OpenURL
Ferreira, Paulo H.; Louzada, Francisco Maximum likelihood estimation for bivariate SUR Tobit modeling in presence of two right-censored dependent variables. (English) Zbl 07551427 Commun. Stat., Simulation Comput. 48, No. 1, 150-168 (2019). MSC: 62H12 62P20 PDF BibTeX XML Cite \textit{P. H. Ferreira} and \textit{F. Louzada}, Commun. Stat., Simulation Comput. 48, No. 1, 150--168 (2019; Zbl 07551427) Full Text: DOI OpenURL
Pereira, Luísa; Fonseca, Cecília Statistical methods for assessing the contagion of spatial extreme events among regions. (English) Zbl 07539707 Commun. Stat., Theory Methods 48, No. 13, 3208-3218 (2019). MSC: 62-XX PDF BibTeX XML Cite \textit{L. Pereira} and \textit{C. Fonseca}, Commun. Stat., Theory Methods 48, No. 13, 3208--3218 (2019; Zbl 07539707) Full Text: DOI OpenURL
Samanthi, Ranadeera G. M.; Sepanski, Jungsywan A bivariate extension of the beta generated distribution derived from copulas. (English) Zbl 07530868 Commun. Stat., Theory Methods 48, No. 5, 1043-1059 (2019). MSC: 60E05 PDF BibTeX XML Cite \textit{R. G. M. Samanthi} and \textit{J. Sepanski}, Commun. Stat., Theory Methods 48, No. 5, 1043--1059 (2019; Zbl 07530868) Full Text: DOI OpenURL
Lu, Dawei; Song, Lixin; Li, Fuqi Uniform asymptotics for discounted aggregate claims in dependent multi-risk model. (English) Zbl 07530624 Commun. Stat., Theory Methods 48, No. 4, 781-793 (2019). MSC: 91B30 60G51 60K05 PDF BibTeX XML Cite \textit{D. Lu} et al., Commun. Stat., Theory Methods 48, No. 4, 781--793 (2019; Zbl 07530624) Full Text: DOI OpenURL
Wang, Kaiyong; Chen, Lamei Precise large deviations for the aggregate claims in a dependent compound renewal risk model. (English) Zbl 07459285 J. Inequal. Appl. 2019, Paper No. 257, 25 p. (2019). MSC: 60Fxx 91Bxx 60Kxx PDF BibTeX XML Cite \textit{K. Wang} and \textit{L. Chen}, J. Inequal. Appl. 2019, Paper No. 257, 25 p. (2019; Zbl 07459285) Full Text: DOI OpenURL
Gao, Qingwu; Liu, Xijun; Chai, Chunhong Asymptotic tail probability of weighted infinite sum of conditionally dependent and consistently varying tailed random variables. (English) Zbl 07459148 J. Inequal. Appl. 2019, Paper No. 120, 15 p. (2019). MSC: 62E20 60G70 62H20 PDF BibTeX XML Cite \textit{Q. Gao} et al., J. Inequal. Appl. 2019, Paper No. 120, 15 p. (2019; Zbl 07459148) Full Text: DOI OpenURL
Cooley, D.; Thibaud, E. Decompositions of dependence for high-dimensional extremes. (English) Zbl 1464.62278 Biometrika 106, No. 3, 587-604 (2019). MSC: 62G32 60F10 62P12 62P05 PDF BibTeX XML Cite \textit{D. Cooley} and \textit{E. Thibaud}, Biometrika 106, No. 3, 587--604 (2019; Zbl 1464.62278) Full Text: DOI arXiv OpenURL
Tursunalieva, Ainura; Hudson, Irene; Chase, Geoff Copula modelling of nurses’ agitation-sedation rating of ICU patients. (English) Zbl 1445.62292 Nguyen, Hien (ed.), Statistics and data science. Proceedings of the research school on statistics and data science, RSSDS 2019, Melbourne, Australia, July 24–26, 2019. Singapore: Springer. Commun. Comput. Inf. Sci. 1150, 148-161 (2019). MSC: 62P10 62H05 PDF BibTeX XML Cite \textit{A. Tursunalieva} et al., Commun. Comput. Inf. Sci. 1150, 148--161 (2019; Zbl 1445.62292) Full Text: DOI OpenURL
Ressel, Paul Copulas, stable tail dependence functions, and multivariate monotonicity. (English) Zbl 1445.62107 Depend. Model. 7, 247-258 (2019). MSC: 62H05 62H10 60E05 26A48 PDF BibTeX XML Cite \textit{P. Ressel}, Depend. Model. 7, 247--258 (2019; Zbl 1445.62107) Full Text: DOI OpenURL
Constantinescu, Corina D.; Kozubowski, Tomasz J.; Qian, Haoyu H. Probability of ruin in discrete insurance risk model with dependent Pareto claims. (English) Zbl 1439.62214 Depend. Model. 7, 215-233 (2019). MSC: 62P05 91B05 62E15 62G32 PDF BibTeX XML Cite \textit{C. D. Constantinescu} et al., Depend. Model. 7, 215--233 (2019; Zbl 1439.62214) Full Text: DOI OpenURL
Pfeifer, Dietmar; Mändle, Andreas; Ragulina, Olena; Girschig, Côme New copulas based on general partitions-of-unity. III: The continuous case. (English) Zbl 1439.62133 Depend. Model. 7, 181-201 (2019). MSC: 62H05 62H12 62H17 62H20 PDF BibTeX XML Cite \textit{D. Pfeifer} et al., Depend. Model. 7, 181--201 (2019; Zbl 1439.62133) Full Text: DOI arXiv OpenURL
Ghalibaf, M. Bolbolian Testing for lower tail dependence in extreme value models. (English) Zbl 07193854 J. Stat. Comput. Simulation 89, No. 13, 2583-2593 (2019). MSC: 62-XX PDF BibTeX XML Cite \textit{M. B. Ghalibaf}, J. Stat. Comput. Simulation 89, No. 13, 2583--2593 (2019; Zbl 07193854) Full Text: DOI OpenURL
Lebedev, Alexey V. On the interrelation between dependence coefficients of bivariate extreme value copulas. (English) Zbl 1436.62187 Markov Process. Relat. Fields 25, No. 4, 639-648 (2019). Reviewer: Kurt Marti (München) MSC: 62H05 60G70 62G32 62H20 62N05 PDF BibTeX XML Cite \textit{A. V. Lebedev}, Markov Process. Relat. Fields 25, No. 4, 639--648 (2019; Zbl 1436.62187) Full Text: arXiv OpenURL
Mao, Yanzhu; Wang, Kaiyong Asymptotics of the finite-time ruin probability of a risk model with Brownian perturbation. (English) Zbl 1449.91036 J. Cent. China Norm. Univ., Nat. Sci. 53, No. 4, 487-490 (2019). MSC: 91B05 62P05 62G32 PDF BibTeX XML Cite \textit{Y. Mao} and \textit{K. Wang}, J. Cent. China Norm. Univ., Nat. Sci. 53, No. 4, 487--490 (2019; Zbl 1449.91036) Full Text: DOI OpenURL
Engelke, Sebastian; Opitz, Thomas; Wadsworth, Jennifer Extremal dependence of random scale constructions. (English) Zbl 1427.60097 Extremes 22, No. 4, 623-666 (2019). MSC: 60G70 60E05 62H20 PDF BibTeX XML Cite \textit{S. Engelke} et al., Extremes 22, No. 4, 623--666 (2019; Zbl 1427.60097) Full Text: DOI arXiv OpenURL
Ahmed, Hanan; Einmahl, John H. J. Improved estimation of the extreme value index using related variables. (English) Zbl 1434.62072 Extremes 22, No. 4, 553-569 (2019). MSC: 62G32 62G05 62G20 62P05 60F05 60G70 PDF BibTeX XML Cite \textit{H. Ahmed} and \textit{J. H. J. Einmahl}, Extremes 22, No. 4, 553--569 (2019; Zbl 1434.62072) Full Text: DOI arXiv OpenURL
Martins, A. P.; Sebastião, J. R. Methods for estimating the upcrossings index: improvements and comparison. (English) Zbl 1432.62143 Stat. Pap. 60, No. 4, 1317-1347 (2019). MSC: 62G32 60G70 60F05 60G10 62M10 62P05 PDF BibTeX XML Cite \textit{A. P. Martins} and \textit{J. R. Sebastião}, Stat. Pap. 60, No. 4, 1317--1347 (2019; Zbl 1432.62143) Full Text: DOI arXiv Link OpenURL