A note on tail dependence regression

DOI10.1016/J.JMVA.2013.05.007MaRDI QIDQ391808zbMATH OpenOpenAlexFDO

Authors Deyuan Li, Hansheng Wang, Qingzhao Zhang

Publication date 13 January 2014

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmva.2013.05.007

zbMATH Keywords

approximate maximum likelihood estimationtail dependence index

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Generalized linear models (logistic models) (62J12) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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• Variance Reduction in Multiparameter Likelihood Models

Cited in

(7)

• Nonparametric estimation of the conditional tail copula
• Tail dependence of OLS
• Exceedance-based nonlinear regression of tail dependence
• Semiparametric Tail Index Regression
• The simple econometrics of tail dependence
• Heavy tails of OLS
• scientific article; zbMATH DE number 5791327 (Why is no real title available?)

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Uses Software

• QRM

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