Nonparametric tests for constant tail dependence with an application to energy and finance
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Publication:494381
DOI10.1016/J.JECONOM.2015.02.002zbMATH Open1337.62110OpenAlexW2091294513MaRDI QIDQ494381FDOQ494381
Authors: Axel Bücher, Dominik Wied, Stefan R. Jaschke 
Publication date: 1 September 2015
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://alfresco.uclouvain.be/alfresco/service/guest/streamDownload/1468cf8f-0ef5-4990-96a1-6796703e9854/DP2013_33_buecher_nonparametric.pdf?guest=true
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Cited In (12)
- 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
- DETECTING AND MODELING TAIL DEPENDENCE
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