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- W4242973103 abstract "A two-dimensional random vector in the domain of attraction of an extreme value distribution G is said to be asymptotically independent (i.e. in the tail) if G is the product of its marginal distribution functions. Ledford and Tawn (1996) discussed a form of residual dependence in this case. In this paper we give a characterization of this phenomenon (see also Ramos and Ledford (2009)), and offer extensions to higher-dimensional spaces and stochastic processes. Systemic risk in the banking system is treated in a similar framework." @default.
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- W4242973103 date "2011-03-01" @default.
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- W4242973103 title "Extreme residual dependence for random vectors and processes" @default.
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- W4242973103 doi "https://doi.org/10.1017/s0001867800004766" @default.
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