User: Guest  Login
Document type:
Zeitschriftenaufsatz 
Author(s):
Mai, Jan-Frederik; Scherer, Matthias 
Non-TUM Co-author(s):
ja 
Cooperation:
international 
Title:
On the structure of exchangeable extreme-value copulas 
Abstract:
We show that the set of d-variate symmetric stable tail dependence functions is a simplex and we determine its extremal boundary. The subset of elements which arises as d-margins of the set of (d+k)-variate symmetric stable tail dependence functions is shown to be proper for arbitrary k ≥ 1. Finally, we derive an intuitive and useful necessary condition for a bivariate extreme-value copula to arise as bi-margin of an exchangeable extreme-value copula of arbitrarily large dimension, and thus to b...    »
 
Intellectual Contribution:
Discipline-based Research 
Journal title:
Journal of Multivariate Analysis 
Journal listet in FT50 ranking:
nein 
Year:
2020 
Reviewed:
ja 
Notes:
Article 104670 
Status:
Verlagsversion / published 
TUM Institution:
Lehrstuhl für Finanzmathematik 
Key publication:
Nein 
Peer reviewed:
Ja 
Commissioned:
not commissioned 
Technology:
Nein 
Interdisciplinarity:
Nein 
Mission statement:
Ethics and Sustainability:
Nein 
versions