Local dependence functions for extreme value distributions
Author
Abstract
Suggested Citation
DOI: 10.1080/0266476032000107123
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Jones, M. C., 1998. "Constant Local Dependence," Journal of Multivariate Analysis, Elsevier, vol. 64(2), pages 148-155, February.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Cees Diks & Florian Wagener, 2006.
"A Weak Bifurcation Theory for Discrete Time Stochastic Dynamical Systems,"
Tinbergen Institute Discussion Papers
06-043/1, Tinbergen Institute.
- Diks, C.G.H. & Wagener, F.O.O., 2006. "A weak bifurcation theory for discrete time stochastic dynamical systems," CeNDEF Working Papers 06-04, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Cees Diks & Florian Wagener, 2005.
"Equivalence and Bifurcations of Finite Order Stochastic Processes,"
Tinbergen Institute Discussion Papers
05-043/1, Tinbergen Institute.
- Diks C.G.H. & Wagener, F.O.O., 2005. "Equivalence and bifurcations of finite order stochastic processes," CeNDEF Working Papers 05-09, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Karoline Bax & Emanuele Taufer & Sandra Paterlini, 2022. "A generalized precision matrix for t-Student distributions in portfolio optimization," Papers 2203.13740, arXiv.org.
- M. Zargar & H. Jabbari & M. Amini, 2017. "Dependence structure and test of independence for some well-known bivariate distributions," Computational Statistics, Springer, vol. 32(4), pages 1423-1451, December.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Tjøstheim, Dag & Hufthammer, Karl Ove, 2013. "Local Gaussian correlation: A new measure of dependence," Journal of Econometrics, Elsevier, vol. 172(1), pages 33-48.
- Indranil Ghosh & Osborne Banks, 2021. "A Study of Bivariate Generalized Pareto Distribution and its Dependence Structure Among Model Parameters," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 83(2), pages 575-604, November.
- Gwo Dong Lin & Xiaoling Dou & Satoshi Kuriki, 2019. "The Bivariate Lack-of-Memory Distributions," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 81(2), pages 273-297, December.
- Abberger, Klaus, 2002. "Exploring local dependence," CoFE Discussion Papers 02/14, University of Konstanz, Center of Finance and Econometrics (CoFE).
- Karoline Bax & Emanuele Taufer & Sandra Paterlini, 2022. "A generalized precision matrix for t-Student distributions in portfolio optimization," Papers 2203.13740, arXiv.org.
- Ramesh Gupta, 2011. "Bivariate odds ratio and association measures," Statistical Papers, Springer, vol. 52(1), pages 125-138, February.
- Ip, Edward H. & Wang, Yuchung J. & Yeh, Yeong-nan, 2004. "Structural decompositions of multivariate distributions with applications in moment and cumulant," Journal of Multivariate Analysis, Elsevier, vol. 89(1), pages 119-134, April.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:japsta:v:30:y:2003:i:10:p:1081-1100. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/CJAS20 .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.