Nonparametric estimation of the tail-dependence coefficient
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Cited in
(28)- Nonstationary modelling of tail dependence of two subjects' concentration
- An analysis of a heuristic procedure to evaluate tail (in)dependence
- The general tail dependence function in the Marshall-Olkin and other parametric copula models with an application to financial time series
- t-copula from the viewpoint of tail dependence matrices
- A comparison of tail dependence estimators
- Robust nonparametric estimation of the conditional tail dependence coefficient
- Conditional normal extreme-value copulas
- A note on nonparametric estimation of bivariate tail dependence
- Exceedance-based nonlinear regression of tail dependence
- Nonparametric estimation of general multivariate tail dependence and applications to financial time series
- Detecting breaks in the dependence of multivariate extreme-value distributions
- Estimating the tail-dependence coefficient: properties and pitfalls
- Tail dependence and smoothness of time series
- Weighted least-squares inference for multivariate copulas based on dependence coefficients
- scientific article; zbMATH DE number 5668410 (Why is no real title available?)
- A flexible and tractable class of one-factor copulas
- Non-parametric Estimation of Tail Dependence
- Nonparametric estimation of the lower tail dependence λLin bivariate copulas
- On extremal dependence of block vectors
- 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
- Nonparametric confidence intervals for tail dependence based on copulas
- A statistical methodology for assessing the maximal strength of tail dependence
- Nonparametric estimation of extremal dependence
- A new blocks estimator for the extremal index
- scientific article; zbMATH DE number 7712507 (Why is no real title available?)
- Nonparametric estimator of the tail dependence coefficient: balancing bias and variance
- Smoothness of time series: a new approach to estimation
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