A comparison of tail dependence estimators

DOI10.1016/J.EJOR.2019.12.041MaRDI QIDQ2178099zbMATH OpenOpenAlexWikidataFDO

Authors Hendrik Supper, Felix Irresberger, Gregor N. F. Weiß

Publication date 7 May 2020

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL http://dro.dur.ac.uk/31365/1/31365.pdf

zbMATH Keywords

simulationtail dependencecopulasasset pricing

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cited in

(14)

• Comparison between two indicators for the variation regularity of tails of distributions
• Tail dependence from a distributional point of view
• A statistical methodology for assessing the maximal strength of tail dependence
• Estimating the tail-dependence coefficient: properties and pitfalls
• Nonparametric estimator of the tail dependence coefficient: balancing bias and variance
• Corporate credit risk counter-cyclical interdependence: a systematic analysis of cross-border and cross-sector correlation dynamics
• Comparison of tail index estimators
• scientific article; zbMATH DE number 5791327 (Why is no real title available?)
• Copula-GARCH time-varying tail dependence
• Estimating dynamic copula dependence using intraday data
• scientific article; zbMATH DE number 5668410 (Why is no real title available?)
• Toward the best constant factor for the Rademacher-Gaussian tail comparison
• Dependence Comparison of Multivariate Extremes via Stochastic Tail Orders
• scientific article; zbMATH DE number 7712506 (Why is no real title available?)

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