Nonparametric Tail Copula Estimation: An Application to Stock and Volatility Index Returns
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Publication:4921583
DOI10.1080/03610918.2011.650256zbMath1347.62074MaRDI QIDQ4921583
Publication date: 13 May 2013
Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610918.2011.650256
62P05: Applications of statistics to actuarial sciences and financial mathematics
62G05: Nonparametric estimation
62G32: Statistics of extreme values; tail inference
Uses Software
Cites Work
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- Rank-based inference for bivariate extreme-value copulas
- Weak convergence of empirical copula processes
- Vine copulas with asymmetric tail dependence and applications to financial return data
- Estimating the tail-dependence coefficient: properties and pitfalls
- Non-parametric Estimation of Tail Dependence
- Nonparametric estimation of the lower tail dependence λLin bivariate copulas
- Dependence measures for extreme value analyses