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Testing for Tail Independence in Extreme Value models

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  • Michael Falk
  • René Michel

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  • Michael Falk & René Michel, 2006. "Testing for Tail Independence in Extreme Value models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 58(2), pages 261-290, June.
    • Handle: RePEc:spr:aistmt:v:58:y:2006:i:2:p:261-290
    DOI: 10.1007/s10463-005-0016-6
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    References listed on IDEAS

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    1. Hüsler, Jürg & Reiss, Rolf-Dieter, 1989. "Maxima of normal random vectors: Between independence and complete dependence," Statistics & Probability Letters, Elsevier, vol. 7(4), pages 283-286, February.
    2. Anthony W. Ledford & Jonathan A. Tawn, 1997. "Modelling Dependence within Joint Tail Regions," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 59(2), pages 475-499.
    3. Peng, L., 1999. "Estimation of the coefficient of tail dependence in bivariate extremes," Statistics & Probability Letters, Elsevier, vol. 43(4), pages 399-409, July.
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    Cited by:

    1. Aboura, Sofiane & Wagner, Niklas, 2016. "Extreme asymmetric volatility: Stress and aggregate asset prices," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 41(C), pages 47-59.
    2. Falk, Michael & Guillou, Armelle, 2008. "Peaks-over-threshold stability of multivariate generalized Pareto distributions," Journal of Multivariate Analysis, Elsevier, vol. 99(4), pages 715-734, April.
    3. Dutfoy Anne & Parey Sylvie & Roche Nicolas, 2014. "Multivariate Extreme Value Theory - A Tutorial with Applications to Hydrology and Meteorology," Dependence Modeling, De Gruyter, vol. 2(1), pages 1-19, June.
    4. Michel, René, 2008. "Some notes on multivariate generalized Pareto distributions," Journal of Multivariate Analysis, Elsevier, vol. 99(6), pages 1288-1301, July.
    5. Chaudhuri, Kausik & Sen, Rituparna & Tan, Zheng, 2018. "Testing extreme dependence in financial time series," Economic Modelling, Elsevier, vol. 73(C), pages 378-394.
    6. Będowska-Sójka, Barbara & Echaust, Krzysztof, 2020. "What is the best proxy for liquidity in the presence of extreme illiquidity?," Emerging Markets Review, Elsevier, vol. 43(C).

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