Nonparametric estimation of general multivariate tail dependence and applications to financial time series (Q2353372)
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scientific article; zbMATH DE number 6456944
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| English | Nonparametric estimation of general multivariate tail dependence and applications to financial time series |
scientific article; zbMATH DE number 6456944 |
Statements
Nonparametric estimation of general multivariate tail dependence and applications to financial time series (English)
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9 July 2015
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tail dependence
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copula
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nonparametric estimation
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financial asset returns
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0.8491756916046143
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0.8355649709701538
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0.8338116407394409
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0.8290174007415771
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0.8181760907173157
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