Nonparametric estimation of the lower tail dependence λLin bivariate copulas

DOI10.1080/02664760500079217MaRDI QIDQ3591997zbMATH OpenOpenAlexFDO

Authors Jadran Dobrić, Friedrich Schmid

Publication date 11 September 2007

Published in Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02664760500079217

zbMATH Keywords

consistency of estimatorscopulaempirical copula processlower tail dependencenon-parametric estimationsmall sample properties of estimators

Mathematics Subject Classification ID

Density estimation (62G07) Nonparametric statistical resampling methods (62G09) Nonparametric hypothesis testing (62G10)

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Cites work

• scientific article; zbMATH DE number 5080942 (Why is no real title available?)
• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• Weak convergence of empirical copula processes

Cited in

(15)

• Copula model evaluation based on parametric bootstrap
• On tail dependence coefficients of transformed multivariate Archimedean copulas
• Vine copulas with asymmetric tail dependence and applications to financial return data
• Nonparametric estimation of multivariate tail probabilities and tail dependence coefficients
• Clustering of financial instruments using jump tail dependence coefficient
• Nonparametric estimation of general multivariate tail dependence and applications to financial time series
• Estimating a bivariate tail: a copula based approach
• A comparison between stochastic DEA and fuzzy DEA approaches: revisiting efficiency in Angolan banks
• Tail-weighted dependence measures with limit being the tail dependence coefficient
• Nonparametric Tail Copula Estimation: An Application to Stock and Volatility Index Returns
• Tail-weighted measures of dependence
• Dependence of Stock Returns in Bull and Bear Markets
• Quantifying the impact of different copulas in a generalized CreditRisk\(^+\) framework. An empirical study
• Quantile dependence: a generalization of upper and lower tail dependence
• On the tail dependence in bivariate hydrological frequency analysis

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