Bivariate distributions with given extreme value attractor
Journal of Multivariate Analysis
Relations among univariate aging, bivariate aging and dependence for exchangeable lifetimes
Journal of Multivariate Analysis
Archimedean copulae and positive dependence
Journal of Multivariate Analysis
Dependence structure of conditional Archimedean copulas
Journal of Multivariate Analysis
Efficient maximum likelihood estimation of copula based meta t-distributions
Computational Statistics & Data Analysis
On Pearson-Kotz Dirichlet distributions
Journal of Multivariate Analysis
Tail order and intermediate tail dependence of multivariate copulas
Journal of Multivariate Analysis
Mining local and tail dependence structures based on pointwise mutual information
Data Mining and Knowledge Discovery
Characterization of multivariate heavy-tailed distribution families via copula
Journal of Multivariate Analysis
A test for Archimedeanity in bivariate copula models
Journal of Multivariate Analysis
The multivariate Piecing-Together approach revisited
Journal of Multivariate Analysis
Extremal dependence of copulas: A tail density approach
Journal of Multivariate Analysis
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A complete and user-friendly directory of tails of Archimedean copulas is presented which can be used in the selection and construction of appropriate models with desired properties. The results are synthesized in the form of a decision tree: Given the values of some readily computable characteristics of the Archimedean generator, the upper and lower tails of the copula are classified into one of three classes each, one corresponding to asymptotic dependence and the other two to asymptotic independence. For a long list of single-parameter families, the relevant tail quantities are computed so that the corresponding classes in the decision tree can easily be determined. In addition, new models with tailor-made upper and lower tails can be constructed via a number of transformation methods. The frequently occurring category of asymptotic independence turns out to conceal a surprisingly rich variety of tail dependence structures.