Nonparametric estimation of general multivariate tail dependence and applications to financial time series
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DOI: 10.1007/s10260-014-0274-7
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- F. Marta L. Di Lascio & Andrea Menapace & Maurizio Righetti, 2020.
"Joint and conditional dependence modelling of peak district heating demand and outdoor temperature: a copula-based approach,"
Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 29(2), pages 373-395, June.
- F. Marta L. Di Lascio & Andrea Menapace & Maurizio Righetti, 2018. "Joint and conditional dependence modeling of peak district heating demand and outdoor temperature: a copula-based approach," BEMPS - Bozen Economics & Management Paper Series BEMPS53, Faculty of Economics and Management at the Free University of Bozen.
- Li, Xiaoting & Joe, Harry, 2024. "Multivariate directional tail-weighted dependence measures," Journal of Multivariate Analysis, Elsevier, vol. 203(C).
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More about this item
Keywords
Tail dependence; Copula; Nonparametric estimation; Financial asset returns; C14; C15; C58; G11;All these keywords.
JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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