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Title:

On the structure of exchangeable extreme-value copulas

Document type:
Zeitschriftenaufsatz
Author(s):
Mai J. F. and Scherer M.
Non-TUM Co-author(s):
ja
Cooperation:
international
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
Fulltext / DOI:
doi:10.1016/j.jmva.2020.104670
Notes:
Article 104670
Status:
Verlagsversion / published
TUM Institution:
Lehrstuhl für Finanzmathematik
Judgement review:
0
Key publication:
Nein
Peer reviewed:
Ja
Commissioned:
not commissioned
Technology:
Nein
Interdisciplinarity:
Nein
Mission statement:
;
Ethics and Sustainability:
Nein
SDG:
;
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