Bibliography

Journal Article

L-infinity-measure of non-exchangeability for bivariate extreme value and Archimax copulas

: Journal of Mathematical Analysis and Applications vol.180, 3 (2010), p. 610-165

: CEZ:AV0Z10750506

: copula, extreme value copula, tail dependence

: 10.1016/j.jmaa.2010.04.005

: http://library.utia.cas.cz/separaty/2010/E/mesiar-l-infty-measure of non-exchangeability for bivariate extreme value and archimax copulas.pdf

(eng): In the class of bivariate extreme value copulas, the maximal infty-degree of non-exchangeability is calculated and copulas attaining this extremal asymmetry are introduced. Similar considerations are done for extreme value copulas with a fixed upper tail dependence, and for Archimax copulas.

: BA