Semi-parametric models for the multivariate tail dependence function -- the asymptotically dependent case
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Publication:3552944
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Cites work
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- A Class of Statistics with Asymptotically Normal Distribution
- A Conditional Approach for Multivariate Extreme Values (with Discussion)
- An introduction to copulas.
- An introduction to statistical modeling of extreme values
- Bivariate Exponential Distributions
- Bivariate extreme value theory: Models and estimation
- Computing the nearest correlation matrix--a problem from finance
- Copula convergence theorems for tail events.
- Dependence estimation and visualization in multivariate extremes with applications to financial data
- Estimating the tail dependence function of an elliptical distribution
- Extreme behaviour for bivariate elliptical distributions
- Functional central limit theorems for processes with positive drift and their inverses
- Multivariate extremes, aggregation and dependence in elliptical distributions
- Non-parametric estimation of the limit dependence function
- Nonparametric estimation of the spectral measure of an extreme value distribution.
- On Pickands coordinates in arbitrary dimensions
- Partial derivatives and confidence intervals of bivariate tail dependence functions
- Poisson and Gaussian approximation of weighted local empirical processes
- Weighted approximations of tail copula processes with application to testing the bivariate extreme value condition
Cited in
(38)- Statistical models and methods for dependence in insurance data
- Efficient and accurate evaluation methods for concordance measures via functional tensor characterizations of copulas
- Generalized Pareto copulas: a key to multivariate extremes
- A simple non-parametric goodness-of-fit test for elliptical copulas
- On the residual dependence index of elliptical distributions
- A method of moments estimator of tail dependence
- Distorted mix method for constructing copulas with tail dependence
- A method of moments estimator of tail dependence in meta-elliptical models
- Asymptotic subadditivity/superadditivity of Value‐at‐Risk under tail dependence
- Operator tail dependence of copulas
- Tail dependence between order statistics
- On multivariate separating Hill estimator under estimated location and scatter
- Toward a copula theory for multivariate regular variation
- Relations between hidden regular variation and the tail order of copulas
- Extremes for multivariate expectiles
- Goodness-of-fit test for tail copulas modeled by elliptical copulas
- Tail dependence measure for examining financial extreme co-movements
- Tail order and intermediate tail dependence of multivariate copulas
- Estimating the probability of a rare event via elliptical copulas
- Multivariate Hill Estimators
- Tail and nontail memory with applications to extreme value and robust statistics
- Asymptotic behaviour of multivariate default probabilities and default correlations under stress
- Tail risk of multivariate regular variation
- A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
- Invariant dependence structures and Archimedean copulas
- Tails of weakly dependent random vectors
- Maximum likelihood estimation of elliptical tail
- Identifiability and estimation of meta-elliptical copula generators
- Adaptive estimation of the copula correlation matrix for semiparametric elliptical copulas
- Extremal \(t\) processes: elliptical domain of attraction and a spectral representation
- Extremes and regular variation
- Tail dependence functions and vine copulas
- Multivariate risk models under heavy-tailed risks
- Estimating asymptotic dependence functionals in multivariate regularly varying models
- Tail Dependence for Heavy-Tailed Scale Mixtures of Multivariate Distributions
- Behaviour of multivariate tail dependence coefficients
- Estimating the tail dependence function of an elliptical distribution
- ROCKET: robust confidence intervals via Kendall's tau for transelliptical graphical models
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