Detecting Structural Differences in Tail Dependence of Financial Time Series

DOI10.1080/07350015.2018.1506343MaRDI QIDQ6626314zbMATH OpenFDO

Authors Carsten Bormann, Melanie Schienle

Publication date 28 October 2024

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07350015.2018.1506343

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites work

• A dependent multiplier bootstrap for the sequential empirical copula process under strong mixing
• An M-estimator for tail dependence in arbitrary dimensions
• Asymmetry in tail dependence in equity portfolios
• Bivariate extreme value theory: Models and estimation
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• False discovery rate control under Archimedean copula
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• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• Maximum likelihood estimation for the Fréchet distribution based on block maxima extracted from a time series
• Multiplier bootstrap of tail copulas with applications
• Non-parametric Estimation of Tail Dependence
• Statistics for near independence in multivariate extreme values
• Stepwise Multiple Testing as Formalized Data Snooping
• Testing for equality between two copulas

Cited in

(1)

• Measuring and testing tail equivalence

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