DETECTING AND MODELING TAIL DEPENDENCE
From MaRDI portal
Publication:4653012
Recommendations
- Detecting serial dependence in tail events: a test dual to the BDS test
- Copulas, tail dependence and applications to the analysis of financial time series
- Nonparametric estimation of general multivariate tail dependence and applications to financial time series
- Nonparametric tests for constant tail dependence with an application to energy and finance
- Nonparametric estimation of extremal dependence
Cites work
Cited in
(12)- Detection of Dependent Heavy-Tailed Signals
- Conditional tail behaviour and Value at Risk
- On detecting the dependence of time series
- Runs tests for assessing volatility forecastability in financial time series
- Nonstationary modelling of tail dependence of two subjects' concentration
- Tail dependence from a distributional point of view
- An ordinal pattern approach to detect and to model leverage effects and dependence structures between financial time series
- Detecting serial dependence in tail events: a test dual to the BDS test
- Nonparametric estimation of expected shortfall via Bahadur-type representation and Berry–Esséen bounds
- Tail behavior and dependence structure in the APARCH model
- scientific article; zbMATH DE number 1085999 (Why is no real title available?)
- On tail trend detection: modeling relative risk
This page was built for publication: DETECTING AND MODELING TAIL DEPENDENCE
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4653012)
