Tail-dependence, exceedance sets, and metric embeddings
Work
Year: 2023
Type: article
Abstract: There are many ways of measuring and modeling tail-dependence in random vectors: from the general framework of multivariate regular variation and the flexible class of max-stable vectors down to simp... more
Source: Extremes
Institutions Otto-von-Guericke University Magdeburg, Universität Hamburg, University of Michigan–Ann Arbor
Cites: 33
Cited by: 4
Related to: 10
FWCI: 1.963
Citation percentile (by year/subfield): 99.99
Subfield: Finance
Domain: Social Sciences
Open Access status: hybrid
APC paid (est): $2,890
Grant IDS DMS-1916226,