Nonparametric tests for constant tail dependence with an application to energy and finance
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Cites work
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- scientific article; zbMATH DE number 3766903 (Why is no real title available?)
- scientific article; zbMATH DE number 1026574 (Why is no real title available?)
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- A fluctuation test for constant Spearman's rho with nuisance-free limit distribution
- A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
- A simple nonparametric test for structural change in joint tail probabilities
- An M-estimator for tail dependence in arbitrary dimensions
- An overview of the goodness-of-fit test problem for copulas
- Best attainable rates of convergence for estimators of the stable tail dependence function
- Bivariate Logistic Distributions
- Consistent testing for a constant copula under strong mixing based on the tapered block multiplier technique
- Dependence structures for multivariate high-frequency data in finance
- Detecting changes in cross-sectional dependence in multivariate time series
- Empirical and sequential empirical copula processes under serial dependence
- Empirical estimation of tail dependence using copulas: application to Asian markets
- Estimating the tail-dependence coefficient: properties and pitfalls
- Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
- Estimation of risk measures in energy portfolios using modern copula techniques
- Extreme value theory. An introduction.
- Families of min-stable multivariate exponential and multivariate extreme value distributions
- Financial modeling under non-Gaussian distributions.
- Goodness-of-fit tests for copulas: A review and a power study
- MAX-stable models for multivariate extremes
- Maxima of normal random vectors: Between independence and complete dependence
- Multiple break detection in the correlation structure of random variables
- Multiplier bootstrap of tail copulas with applications
- Non-parametric Estimation of Tail Dependence
- Order Statistics of Samples from Multivariate Distributions
- Rank-based inference for bivariate extreme-value copulas
- Selecting the optimal sample fraction in univariate extreme value estimation
- Statistical inference for multivariate residual copula of GARCH models
- Structural breaks in time series
- Testing for a change in correlation at an unknown point in time using an extended functional delta method
- Testing the Gaussian copula hypothesis for financial assets dependences
- The asymptotic behavior of some nonparametric change-point estimators
- Using a bootstrap method to choose the sample fraction in tail index estimation
- Weighted approximations of tail copula processes with application to testing the bivariate extreme value condition
Cited in
(12)- DETECTING AND MODELING TAIL DEPENDENCE
- Spatial dependence and space-time trend in extreme events
- A structural break test for extremal dependence in \(\beta\)-mixing random vectors
- Detecting tail risk differences in multivariate time series
- An estimator of the stable tail dependence function based on the empirical beta copula
- Two-Sample Testing for Tail Copulas with an Application to Equity Indices
- Where does the tail begin? An approach based on scoring rules
- A simple nonparametric test for structural change in joint tail probabilities
- Testing for changes in Kendall's tau
- Tail maximal dependence in bivariate models: estimation and applications
- Testing constant cross-sectional dependence with time-varying marginal distributions in parametric models
- Confidence Intervals for Conditional Tail Risk Measures in ARMA–GARCH Models
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