Non-parametric Estimation of Tail Dependence
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Cites work
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- Are copulas unimodal?
- Best attainable rates of convergence for estimators of the stable tail dependence function
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- Complementary spaces and multipliers of double Fourier series for functions of bounded variation
- Concomitant tail behaviour for extremes
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- Multivariate Dispersion Models Generated From Gaussian Copula
- Non-parametric estimation of the limit dependence function
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Cited in
(only showing first 100 items - show all)- Robustness of multiple testing procedures against dependence
- On functional central limit theorems for dependent, heterogeneous arrays with applications to tail index and tail dependence estimation
- Goodness-of-fit test for tail copulas modeled by elliptical copulas
- Copula convergence theorems for tail events.
- Estimation of risk measures in energy portfolios using modern copula techniques
- Nonstationary modelling of tail dependence of two subjects' concentration
- An estimator of the stable tail dependence function based on the empirical beta copula
- Estimating the extremal index through local dependence
- An analysis of a heuristic procedure to evaluate tail (in)dependence
- The multiplex dependency structure of financial markets
- Bias-corrected and robust estimation of the bivariate stable tail dependence function
- On tail dependence coefficients of transformed multivariate Archimedean copulas
- A streaming algorithm for bivariate empirical copulas
- Copula-based mixed models for bivariate rainfall data: an empirical study in regression perspective
- Multivariate generalized Pareto distributions: parametrizations, representations, and properties
- Multivariate extreme value copulas with factor and tree dependence structures
- Vine copulas with asymmetric tail dependence and applications to financial return data
- On extremal dependence: some contributions
- Sparse moving maxima models for tail dependence in multivariate financial time series
- Estimating asymptotic dependence functionals in multivariate regularly varying models
- A Markov product for tail dependence functions
- Nonparametric estimation of multivariate tail probabilities and tail dependence coefficients
- The min-characteristic function: characterizing distributions by their min-linear projections
- Semi-parametric estimation of multivariate extreme expectiles
- Tail dependence and heavy tailedness in extreme risks
- Empirical tail copulas for functional data
- Counterdiagonal/nonpositive tail dependence in vine copula constructions: application to portfolio management
- A horse race between the block maxima method and the peak-over-threshold approach
- Extremes and regular variation
- The general tail dependence function in the Marshall-Olkin and other parametric copula models with an application to financial time series
- Joint inference on extreme expectiles for multivariate heavy-tailed distributions
- t-copula from the viewpoint of tail dependence matrices
- Unveiling endogeneity and temporal dependence in energy prices and demand in Iberian countries: a stochastic hidden Markov model approach
- Choice of smoothing parameter in multivariate copula-based tail coefficients
- A comparison of tail dependence estimators
- Regular variation, conditions of domain of attraction and the existence of the tail dependence function in the general dependence case: a copula approach
- Asset allocation: new evidence through network approaches
- Two-sample high dimensional mean test based on prepivots
- A note on nonparametric estimation of bivariate tail dependence
- Assessing bivariate tail non-exchangeable dependence
- On second order conditions in the multivariate block maxima and peak over threshold method
- On a relationship between randomly and non-randomly thresholded empirical average excesses for heavy tails
- Bayesian inference with \(M\)-splines on spectral measure of bivariate extremes
- On functional records and champions
- Econometric modeling of risk measures: a selective review of the recent literature
- Exceedance-based nonlinear regression of tail dependence
- Clustering of financial instruments using jump tail dependence coefficient
- Nonparametric estimation of the conditional tail copula
- Nonparametric estimation of general multivariate tail dependence and applications to financial time series
- On the size of the class of bivariate extreme-value copulas with a fixed value of Spearman's rho or Kendall's tau
- Multiplier bootstrap of tail copulas with applications
- On tail dependence: a characterization for first-order max-autoregressive processes
- Tail asymptotics for the sum of two heavy-tailed dependent risks
- Dependence structure of conditional Archimedean copulas
- Multiple block sizes and overlapping blocks for multivariate time series extremes
- Tail dependence and smoothness of time series
- Ortholinear and paralinear semi-copulas
- Nonparametric estimation of the tail-dependence coefficient
- Empirical estimation of tail dependence using copulas: application to Asian markets
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- Nonparametric estimation of the lower tail dependence λLin bivariate copulas
- Extremes of multivariate ARMAX processes
- Jump tail dependence in Lévy copula models
- Lower semiquadratic copulas with a given diagonal section
- A note on tail dependence regression
- Strength of tail dependence based on conditional tail expectation
- Fragility index of block tailed vectors
- Strong approximations of level exceedences related to multiple hypothesis testing
- A note on upper-patched generators for Archimedean copulas
- A comparison between stochastic DEA and fuzzy DEA approaches: revisiting efficiency in Angolan banks
- Statistical models and methods for dependence in insurance data
- A semi-parametric approach to risk management
- Robust score and portmanteau tests of volatility spillover
- On extremal dependence of block vectors
- Nonparametric Tail Copula Estimation: An Application to Stock and Volatility Index Returns
- scientific article; zbMATH DE number 5791327 (Why is no real title available?)
- Nonparametric tests for constant tail dependence with an application to energy and finance
- Interval estimation for a measure of tail dependence
- Space‐efficient estimation of empirical tail dependence coefficients for bivariate data streams
- Multivariate extreme value theory and its usefulness in understanding risk
- Nonparametric confidence intervals for tail dependence based on copulas
- Estimating mean-standard deviation ratios of financial data
- Bivariate tail dependence and the generation of multivariate extreme value distributions
- Stability and contagion measures for spatial extreme value analyses
- Tail and nontail memory with applications to extreme value and robust statistics
- Semiquadratic copulas based on horizontal and vertical interpolation
- Exponential series estimator of multivariate densities
- Semi-polynomial copulas
- Absolutely Continuous Copulas with Given Diagonal Sections
- Asymptotic dependence of bivariate maxima
- Extremal memory of stochastic volatility with an application to tail shape inference
- Estimation of multivariate tail quantities
- Regional extreme value index estimation and a test of tail homogeneity
- Tail dependence functions of two classes of bivariate skew distributions
- Measuring non-exchangeable tail dependence using tail copulas
- scientific article; zbMATH DE number 7712507 (Why is no real title available?)
- Estimation of extreme quantiles conditioning on multivariate critical layers
- Extremal Dependence-Based Specification Testing of Time Series
- Smoothed jackknife empirical likelihood method for tail copulas
- Copula modeling from Abe Sklar to the present day
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