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Tail Dependence of Multivariate Archimedean Copulas
Haijun Li
Archimedean copulas generated by Laplace transforms have been extensively studied in the literature, with much of the focus on tail dependence limited only to cases where the Lapla…
math.PR2019
Tail Densities of Skew-Elliptical Distributions
Harry Joe, Haijun Li
Skew-elliptical distributions constitute a large class of multivariate distributions that account for both skewness and a variety of tail properties. This class has simpler represe…