Interval estimation for a measure of tail dependence
DOI10.1016/J.INSMATHECO.2015.05.014zbMATH Open1348.62183OpenAlexW2214741050MaRDI QIDQ495494FDOQ495494
Authors: Yanxi Hou, Liang Peng, Ai-Ai Liu 
Publication date: 14 September 2015
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.05.014
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Cites Work
- Robust and bias-corrected estimation of the coefficient of tail dependence
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- Statistics for near independence in multivariate extreme values
- Empirical likelihood and general estimating equations
- Empirical likelihood
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- A Class of Statistics with Asymptotically Normal Distribution
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- Jackknife Empirical Likelihood
- Bivariate tail estimation: dependence in asymptotic independence
- Estimation of the coefficient of tail dependence in bivariate extremes
- Asymptotically unbiased estimation of the coefficient of tail dependence
- Distorted mix method for constructing copulas with tail dependence
- Tails of correlation mixtures of elliptical copulas
- Statistical models and methods for dependence in insurance data
- Smoothed jackknife empirical likelihood method for tail copulas
Cited In (6)
- Smoothed jackknife empirical likelihood method for tail copulas
- On kernel-based estimation of conditional Kendall's tau: finite-distance bounds and asymptotic behavior
- Conditional quantiles and tail dependence
- Tail dependence measure for examining financial extreme co-movements
- Title not available (Why is that?)
- Title not available (Why is that?)
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