Nonparametric confidence intervals for tail dependence based on copulas

MaRDI QIDQ505609zbMATH OpenFDO

Authors Cheikh Tidiane Seck, Ba Diam, Gane Samb Lo

Publication date 26 January 2017

Published in Afrika Statistika (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.as/1484881313

zbMATH Keywords

confidence intervalscopula functionfinancial datakernel estimatorstail dependence coefficientCAC 40 stock index

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Nonparametric tolerance and confidence regions (62G15) Measures of association (correlation, canonical correlation, etc.) (62H20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(5)

• Empirical likelihood based confidence intervals for copulas
• Non-parametric Estimation of Tail Dependence
• Empirical estimation of tail dependence using copulas: application to Asian markets
• Dependence Calibration in Conditional Copulas: A Nonparametric Approach
• Comparing point and interval estimates in the bivariate \(t\)-copula model with application to financial data

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