Conditional quantiles and tail dependence (Q2350042): Difference between revisions

@@ Property / author @@
-Claudia Czado
@@ Property / author: Claudia Czado / rank @@
-Normal rank
@@ Property / author @@
+Claudia Czado
@@ Property / author: Claudia Czado / rank @@
+Normal rank
@@ Property / describes a project that uses @@
+CAViaR
@@ Property / describes a project that uses: CAViaR / rank @@
+Normal rank
@@ Property / describes a project that uses @@
+QRM
@@ Property / describes a project that uses: QRM / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.jmva.2015.01.011
+Normal rank
@@ Property / OpenAlex ID @@
+W1967773668
@@ Property / OpenAlex ID: W1967773668 / rank @@
+Normal rank
@@ Property / cites work @@
+Pair-copula constructions of multiple dependence
@@ Property / cites work: Pair-copula constructions of multiple dependence / rank @@
+Normal rank
@@ Property / cites work @@
+NEARLY EXACT OPTION PRICE SIMULATION USING CHARACTERISTIC FUNCTIONS
+Normal rank
@@ Property / cites work @@
+Changes in the U.S. Wage Structure 1963-1987: Application of Quantile Regression
+Normal rank
@@ Property / cites work @@
+Dependence measures for extreme value analyses
@@ Property / cites work: Dependence measures for extreme value analyses / rank @@
+Normal rank
@@ Property / cites work @@
+Q4272657
@@ Property / cites work: Q4272657 / rank @@
+Normal rank
@@ Property / cites work @@
+Maximum likelihood estimation of mixed C-vines with application to exchange rates
+Normal rank
@@ Property / cites work @@
+The t Copula and Related Copulas
@@ Property / cites work: The t Copula and Related Copulas / rank @@
+Normal rank
@@ Property / cites work @@
+The Inverse of the Cumulative Standard Normal Probability Function
+Normal rank
@@ Property / cites work @@
+Q4343010
@@ Property / cites work: Q4343010 / rank @@
+Normal rank
@@ Property / cites work @@
+Importance Sampling for Portfolio Credit Risk
@@ Property / cites work: Importance Sampling for Portfolio Credit Risk / rank @@
+Normal rank
@@ Property / cites work @@
+Dynamic quantile models
@@ Property / cites work: Dynamic quantile models / rank @@
+Normal rank
@@ Property / cites work @@
+A directory of coefficients of tail dependence
@@ Property / cites work: A directory of coefficients of tail dependence / rank @@
+Normal rank
@@ Property / cites work @@
+Tail order and intermediate tail dependence of multivariate copulas
+Normal rank
@@ Property / cites work @@
+Strength of tail dependence based on conditional tail expectation
+Normal rank
@@ Property / cites work @@
+Q4382161
@@ Property / cites work: Q4382161 / rank @@
+Normal rank
@@ Property / cites work @@
+Tail risk of multivariate regular variation
@@ Property / cites work: Tail risk of multivariate regular variation / rank @@
+Normal rank
@@ Property / cites work @@
+Q3413299
@@ Property / cites work: Q3413299 / rank @@
+Normal rank
@@ Property / cites work @@
+Regression Quantiles
@@ Property / cites work: Regression Quantiles / rank @@
+Normal rank
@@ Property / cites work @@
+Statistics for near independence in multivariate extreme values
+Normal rank
@@ Property / cites work @@
+Concomitant tail behaviour for extremes
@@ Property / cites work: Concomitant tail behaviour for extremes / rank @@
+Normal rank
@@ Property / cites work @@
+Q3428623
@@ Property / cites work: Q3428623 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5706744
@@ Property / cites work: Q5706744 / rank @@
+Normal rank
@@ Property / cites work @@
+An introduction to copulas.
@@ Property / cites work: An introduction to copulas. / rank @@
+Normal rank
@@ Property / cites work @@
+Local quantile regression
@@ Property / cites work: Local quantile regression / rank @@
+Normal rank
@@ Property / cites work @@
+Bivariate extreme value theory: Models and estimation
+Normal rank