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tail dependence

4 papers

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Co-occurring keywords · papers mentioning both

multivariate extreme (2) extreme value theory (2) heavy-tailed distribution (2) multivariate analysis (2) rare event (1) multivariate distribution (1) garch model (1) tail dependence function (1) multivariate modeling (1) financial return (1)

Papers

COMET Flows: Towards Generative Modeling of Multivariate Extremes and Tail Dependence IJCAI 2022 Inference and Sampling for Archimax Copulas NeurIPS 2022 Cross-sectional Learning of Extremal Dependence among Financial Assets NeurIPS 2019 Learning the dependence structure of rare events: a non-asymptotic study COLT 2015