Nonparametric estimation of general multivariate tail dependence and applications to financial time series
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Publication:2353372
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Cites work
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- Non-parametric Estimation of Tail Dependence
- Nonparametric estimation of the lower tail dependence λLin bivariate copulas
- Nonparametric estimation of the tail-dependence coefficient
- Parametric families of multivariate distributions with given margins
- Smoothing the Hill Estimator
- Tail dependence functions and vine copulas
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Cited in
(24)- Sparse moving maxima models for tail dependence in multivariate financial time series
- Nonparametric estimation of multivariate tail probabilities and tail dependence coefficients
- Counterdiagonal/nonpositive tail dependence in vine copula constructions: application to portfolio management
- The general tail dependence function in the Marshall-Olkin and other parametric copula models with an application to financial time series
- A comparison of tail dependence estimators
- Joint and conditional dependence modelling of peak district heating demand and outdoor temperature: a copula-based approach
- Regular variation, conditions of domain of attraction and the existence of the tail dependence function in the general dependence case: a copula approach
- Dependence estimation and visualization in multivariate extremes with applications to financial data
- Generalized EGARCH Random Effect Models Application to Financial Time Series
- A New Class of Tail-dependent Time-Series Models and Its Applications in Financial Time Series
- Exponential series estimation of empirical copulas with application to financial returns
- Nonparametric estimation of the lower tail dependence λLin bivariate copulas
- DETECTING AND MODELING TAIL DEPENDENCE
- Nonparametric Tail Copula Estimation: An Application to Stock and Volatility Index Returns
- Nonparametric tests for constant tail dependence with an application to energy and finance
- Nonparametric dependence modeling via cluster analysis: A financial contagion application
- Nonparametric estimation of extremal dependence
- Discussion on “on studying extreme values and systematic risks with nonlinear time series models and tail dependence measures”
- Discussion of ‘On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures’
- Discussion of ‘On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures’
- Estimation of multivariate tail quantities
- Multivariate directional tail-weighted dependence measures
- Quantile dependence: a generalization of upper and lower tail dependence
- Extreme risk modeling based on Tail Extended Gini and Joint Tail Extended Gini
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