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Document type:
Zeitschriftenaufsatz 
Author(s):
Mai, Jan-Frederik; Scherer, Matthias 
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...    »
 
Journal title:
Journal of Multivariate Analysis 
Year:
2020 
Reviewed:
ja 
Notes:
Article 104670 
Status:
Verlagsversion / published 
TUM Institution:
Lehrstuhl für Finanzmathematik 
Mission statement:
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