Andrea Krajina
Personal Details
First Name: | Andrea |
Middle Name: | |
Last Name: | Krajina |
Suffix: | |
RePEc Short-ID: | pkr112 |
| |
http://www.akrajina.com | |
Research output
Jump to: Working papersWorking papers
- Einmahl, J.H.J. & Kiriliouk, A. & Krajina, A. & Segers, J., 2014.
"An M-estimator of Spatial Tail Dependence,"
Discussion Paper
2014-021, Tilburg University, Center for Economic Research.
- John H. J. Einmahl & Anna Kiriliouk & Andrea Krajina & Johan Segers, 2016. "An M-estimator of spatial tail dependence," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 78(1), pages 275-298, January.
- Einmahl, John & Kiriliouk, Anna & Krajina, Andrea & Segers, Johan, 2016. "An M-estimator of spatial tail dependence," LIDAM Reprints ISBA 2016004, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Einmahl, John & Kiriliouk, Anna & Krajina, Andrea & Segers, Johan, 2014. "An M-estimator of spatial tail dependence," LIDAM Discussion Papers ISBA 2014008, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Einmahl, J.H.J. & Kiriliouk, A. & Krajina, A. & Segers, J., 2014. "An M-estimator of Spatial Tail Dependence," Other publications TiSEM 2d5c1a3b-a5f6-4329-8df2-f, Tilburg University, School of Economics and Management.
- Einmahl, J.H.J. & Krajina, A. & Segers, J., 2012.
"An M-estimator for tail dependence in arbitrary dimensions,"
Other publications TiSEM
7d447c58-3e8f-4387-b36b-e, Tilburg University, School of Economics and Management.
- EINMAHL, John H.J. & KRAJINA, Andrea & Segers, Johan, 2011. "An M-Estimator For Tail Dependence In Arbitrary Dimensions," LIDAM Discussion Papers ISBA 2011005, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Einmahl, J.H.J. & Krajina, A. & Segers, J., 2011. "An M-Estimator for Tail Dependence in Arbitrary Dimensions," Other publications TiSEM 27508aa0-9825-4d9e-b1f4-1, Tilburg University, School of Economics and Management.
- Einmahl, J.H.J. & Krajina, A. & Segers, J., 2011. "An M-Estimator for Tail Dependence in Arbitrary Dimensions," Discussion Paper 2011-013, Tilburg University, Center for Economic Research.
- Einmahl, John H. J. & Krajina, Andrea & Segers, Johan, 2012. "An M-estimator for tail dependence in arbitrary dimensions," LIDAM Reprints ISBA 2012035, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Krajina, A., 2010. "An M-estimator of multivariate tail dependence," Other publications TiSEM 66518e07-db9a-4446-81be-c, Tilburg University, School of Economics and Management.
- Krajina, A., 2009. "A Method of Moments Estimator of Tail Dependence in Elliptical Copula Models," Discussion Paper 2009-42, Tilburg University, Center for Economic Research.
- Einmahl, J.H.J. & de Haan, L.F.M. & Krajina, A., 2009.
"Estimating Extreme Bivariate Quantile Regions,"
Discussion Paper
2009-29, Tilburg University, Center for Economic Research.
- Einmahl, J.H.J. & de Haan, L.F.M. & Krajina, A., 2009. "Estimating Extreme Bivariate Quantile Regions," Other publications TiSEM 007ce0a9-dd94-4301-ad62-1, Tilburg University, School of Economics and Management.
- Einmahl, J.H.J. & Krajina, A. & Segers, J.J.J., 2007.
"A Method of Moments Estimator of Tail Dependence,"
Discussion Paper
2007-80, Tilburg University, Center for Economic Research.
- Einmahl, J.H.J. & Krajina, A. & Segers, J.J.J., 2007. "A Method of Moments Estimator of Tail Dependence," Other publications TiSEM 6ee60ab8-3c01-4bd9-aa5e-7, Tilburg University, School of Economics and Management.
- Einmahl, J.H.J. & Krajina, A. & Segers, J.J.J., 2008. "A method of moments estimator of tail dependence," Other publications TiSEM 448fd556-b3e0-4fb0-bcb7-8, Tilburg University, School of Economics and Management.
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Working papers
- Einmahl, J.H.J. & Kiriliouk, A. & Krajina, A. & Segers, J., 2014.
"An M-estimator of Spatial Tail Dependence,"
Discussion Paper
2014-021, Tilburg University, Center for Economic Research.
- John H. J. Einmahl & Anna Kiriliouk & Andrea Krajina & Johan Segers, 2016. "An M-estimator of spatial tail dependence," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 78(1), pages 275-298, January.
- Einmahl, John & Kiriliouk, Anna & Krajina, Andrea & Segers, Johan, 2016. "An M-estimator of spatial tail dependence," LIDAM Reprints ISBA 2016004, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Einmahl, John & Kiriliouk, Anna & Krajina, Andrea & Segers, Johan, 2014. "An M-estimator of spatial tail dependence," LIDAM Discussion Papers ISBA 2014008, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Einmahl, J.H.J. & Kiriliouk, A. & Krajina, A. & Segers, J., 2014. "An M-estimator of Spatial Tail Dependence," Other publications TiSEM 2d5c1a3b-a5f6-4329-8df2-f, Tilburg University, School of Economics and Management.
Cited by:
- R de Fondeville & A C Davison, 2018. "High-dimensional peaks-over-threshold inference," Biometrika, Biometrika Trust, vol. 105(3), pages 575-592.
- Klüppelberg, Claudia & Krali, Mario, 2021. "Estimating an extreme Bayesian network via scalings," Journal of Multivariate Analysis, Elsevier, vol. 181(C).
- Robert, Christian Y., 2022. "Testing for changes in the tail behavior of Brown–Resnick Pareto processes," Stochastic Processes and their Applications, Elsevier, vol. 144(C), pages 312-368.
- Rootzen, Holger & Segers, Johan & Wadsworth, Jenny, 2016. "Multivariate peaks over thresholds models," LIDAM Discussion Papers ISBA 2016018, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Kiriliouk, Anna, 2020. "Hypothesis testing for tail dependence parameters on the boundary of the parameter space," Econometrics and Statistics, Elsevier, vol. 16(C), pages 121-135.
- Hentschel, Manuel & Engelke, Sebastian & Segers, Johan, 2022. "Statistical Inference for Hüsler–Reiss Graphical Models Through Matrix Completions," LIDAM Discussion Papers ISBA 2022032, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Einmahl, John & Kiriliouk, Anna & Segers, Johan, 2016.
"A continuous updating weighted least squares estimator of tail dependence in high dimensions,"
LIDAM Discussion Papers ISBA
2016002, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Einmahl, John H. J. & Kiriliouk, Anna & Segers, Johan, 2018. "A continuous updating weighted least squares estimator of tail dependence in high dimensions," LIDAM Reprints ISBA 2018019, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Einmahl, John & Kiriliouk, A. & Segers, J.J.J., 2016. "A Continuous Updating Weighted Least Squares Estimator of Tail Dependence in High Dimensions," Other publications TiSEM a3e7350b-4773-4bd8-9c3c-6, Tilburg University, School of Economics and Management.
- Einmahl, John & Kiriliouk, A. & Segers, J.J.J., 2016. "A Continuous Updating Weighted Least Squares Estimator of Tail Dependence in High Dimensions," Discussion Paper 2016-002, Tilburg University, Center for Economic Research.
- Julien Hambuckers & Marie Kratz & Antoine Usseglio-Carleve, 2023. "Efficient Estimation In Extreme Value Regression Models Of Hedge Fund Tail Risks," Working Papers hal-04090916, HAL.
- Julien Hambuckers & Marie Kratz & Antoine Usseglio-Carleve, 2023. "Efficient Estimation in Extreme Value Regression Models of Hedge Fund Tail Risks," Papers 2304.06950, arXiv.org.
- Kiriliouk, Anna, 2017. "Hypothesis testing for tail dependence parameters on the boundary of the parameter space with application to generalized max-linear models," LIDAM Discussion Papers ISBA 2017027, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Miranda J. Fix & Daniel S. Cooley & Emeric Thibaud, 2021. "Simultaneous autoregressive models for spatial extremes," Environmetrics, John Wiley & Sons, Ltd., vol. 32(2), March.
- Hu, Shuang & Peng, Zuoxiang & Segers, Johan, 2022. "Modelling multivariate extreme value distributions via Markov trees," LIDAM Discussion Papers ISBA 2022021, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Kiriliouk, Anna & Segers, Johan & Warchol, Michal, 2014. "Nonparametric estimation of extremal dependence," LIDAM Discussion Papers ISBA 2014044, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Einmahl, J.H.J. & Krajina, A. & Segers, J., 2012.
"An M-estimator for tail dependence in arbitrary dimensions,"
Other publications TiSEM
7d447c58-3e8f-4387-b36b-e, Tilburg University, School of Economics and Management.
- EINMAHL, John H.J. & KRAJINA, Andrea & Segers, Johan, 2011. "An M-Estimator For Tail Dependence In Arbitrary Dimensions," LIDAM Discussion Papers ISBA 2011005, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Einmahl, J.H.J. & Krajina, A. & Segers, J., 2011. "An M-Estimator for Tail Dependence in Arbitrary Dimensions," Other publications TiSEM 27508aa0-9825-4d9e-b1f4-1, Tilburg University, School of Economics and Management.
- Einmahl, J.H.J. & Krajina, A. & Segers, J., 2011. "An M-Estimator for Tail Dependence in Arbitrary Dimensions," Discussion Paper 2011-013, Tilburg University, Center for Economic Research.
- Einmahl, John H. J. & Krajina, Andrea & Segers, Johan, 2012. "An M-estimator for tail dependence in arbitrary dimensions," LIDAM Reprints ISBA 2012035, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
Cited by:
- Carsten Bormann & Julia Schaumburg & Melanie Schienle, 2016.
"Beyond Dimension two: A Test for Higher-Order Tail Risk,"
Journal of Financial Econometrics, Oxford University Press, vol. 14(3), pages 552-580.
- Bormann, Carsten & Schienle, Melanie & Schaumburg, Julia, 2014. "Beyond dimension two: A test for higher-order tail risk," SFB 649 Discussion Papers 2014-042, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Bormann, Carsten & Schaumburg, Julia & Schienle, Melanie, 2016. "Beyond dimension two: A test for higher-order tail risk," Working Paper Series in Economics 80, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
- Gissibl, Nadine & Klüppelberg, Claudia & Otto, Moritz, 2018. "Tail dependence of recursive max-linear models with regularly varying noise variables," Econometrics and Statistics, Elsevier, vol. 6(C), pages 149-167.
- Di Bernardino, Elena & Laloë, Thomas & Pakzad, Cambyse, 2024. "Estimation of extreme multivariate expectiles with functional covariates," Journal of Multivariate Analysis, Elsevier, vol. 202(C).
- Falk, Michael & Padoan, Simone A. & Wisheckel, Florian, 2019. "Generalized Pareto copulas: A key to multivariate extremes," Journal of Multivariate Analysis, Elsevier, vol. 174(C).
- Kiriliouk, Anna & Segers, Johan & Tafakori, Laleh, 2017. "An estimator of the stable tail dependence function based on the empirical beta copula," LIDAM Discussion Papers ISBA 2017028, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Klüppelberg, Claudia & Krali, Mario, 2021. "Estimating an extreme Bayesian network via scalings," Journal of Multivariate Analysis, Elsevier, vol. 181(C).
- Einmahl, John & Kiriliouk, Anna & Krajina, Andrea & Segers, Johan, 2016.
"An M-estimator of spatial tail dependence,"
LIDAM Reprints ISBA
2016004, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Einmahl, J.H.J. & Kiriliouk, A. & Krajina, A. & Segers, J., 2014. "An M-estimator of Spatial Tail Dependence," Discussion Paper 2014-021, Tilburg University, Center for Economic Research.
- John H. J. Einmahl & Anna Kiriliouk & Andrea Krajina & Johan Segers, 2016. "An M-estimator of spatial tail dependence," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 78(1), pages 275-298, January.
- Einmahl, John & Kiriliouk, Anna & Krajina, Andrea & Segers, Johan, 2014. "An M-estimator of spatial tail dependence," LIDAM Discussion Papers ISBA 2014008, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Einmahl, J.H.J. & Kiriliouk, A. & Krajina, A. & Segers, J., 2014. "An M-estimator of Spatial Tail Dependence," Other publications TiSEM 2d5c1a3b-a5f6-4329-8df2-f, Tilburg University, School of Economics and Management.
- Asenova, Stefka Kirilova & Mazo, Gildas & Segers, Johan, 2020. "Inference on extremal dependence in a latent Markov tree model attracted to a Husler-Reiss distribution," LIDAM Discussion Papers ISBA 2020005, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Chiapino, Mael & Sabourin, Anne & Segers, Johan, 2018. "Identifying groups of variables with the potential of being large simultaneously," LIDAM Discussion Papers ISBA 2018006, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Kiriliouk, Anna & Segers, Johan & Tafakori, Laleh, 2018. "An estimator of the stable tail dependence function based on the empirical beta copula," LIDAM Discussion Papers ISBA 2018029, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Rootzen, Holger & Segers, Johan & Wadsworth, Jenny, 2016. "Multivariate peaks over thresholds models," LIDAM Discussion Papers ISBA 2016018, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Bücher Axel, 2014. "A note on nonparametric estimation of bivariate tail dependence," Statistics & Risk Modeling, De Gruyter, vol. 31(2), pages 151-162, June.
- Bormann, Carsten & Schienle, Melanie, 2019.
"Detecting structural differences in tail dependence of financial time series,"
Working Paper Series in Economics
122, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
- Carsten Bormann & Melanie Schienle, 2020. "Detecting Structural Differences in Tail Dependence of Financial Time Series," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(2), pages 380-392, April.
- Einmahl, John & Segers, Johan, 2020.
"Empirical Tail Copulas for Functional Data,"
Discussion Paper
2020-004, Tilburg University, Center for Economic Research.
- Einmahl, John & Segers, Johan, 2020. "Empirical tail copulas for functional data," LIDAM Discussion Papers ISBA 2020004, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Einmahl, John & Segers, Johan, 2020. "Empirical Tail Copulas for Functional Data," Other publications TiSEM edc722e6-cc70-4221-87a2-8, Tilburg University, School of Economics and Management.
- Kiriliouk, Anna, 2020. "Hypothesis testing for tail dependence parameters on the boundary of the parameter space," Econometrics and Statistics, Elsevier, vol. 16(C), pages 121-135.
- Segers, Johan, 2012. "Max-Stable Models For Multivariate Extremes," LIDAM Discussion Papers ISBA 2012011, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Hentschel, Manuel & Engelke, Sebastian & Segers, Johan, 2022. "Statistical Inference for Hüsler–Reiss Graphical Models Through Matrix Completions," LIDAM Discussion Papers ISBA 2022032, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Goix, Nicolas & Sabourin, Anne & Clémençon, Stephan, 2017. "Sparse representation of multivariate extremes with applications to anomaly detection," Journal of Multivariate Analysis, Elsevier, vol. 161(C), pages 12-31.
- Chollete, Lorán & de la Peña, Victor & Lu, Ching-Chih, 2012. "International diversification: An extreme value approach," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 871-885.
- Helena Ferreira & Marta Ferreira, 2021. "Tail dependence and smoothness of time series," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 30(1), pages 198-210, March.
- Einmahl, John & Kiriliouk, Anna & Segers, Johan, 2016.
"A continuous updating weighted least squares estimator of tail dependence in high dimensions,"
LIDAM Discussion Papers ISBA
2016002, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Einmahl, John H. J. & Kiriliouk, Anna & Segers, Johan, 2018. "A continuous updating weighted least squares estimator of tail dependence in high dimensions," LIDAM Reprints ISBA 2018019, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Einmahl, John & Kiriliouk, A. & Segers, J.J.J., 2016. "A Continuous Updating Weighted Least Squares Estimator of Tail Dependence in High Dimensions," Other publications TiSEM a3e7350b-4773-4bd8-9c3c-6, Tilburg University, School of Economics and Management.
- Einmahl, John & Kiriliouk, A. & Segers, J.J.J., 2016. "A Continuous Updating Weighted Least Squares Estimator of Tail Dependence in High Dimensions," Discussion Paper 2016-002, Tilburg University, Center for Economic Research.
- Fougères, Anne-Laure & Mercadier, Cécile & Nolan, John P., 2013. "Dense classes of multivariate extreme value distributions," Journal of Multivariate Analysis, Elsevier, vol. 116(C), pages 109-129.
- Xin Lao & Zuoxiang Peng & Saralees Nadarajah, 2023. "Tail Dependence Functions of Two Classes of Bivariate Skew Distributions," Methodology and Computing in Applied Probability, Springer, vol. 25(1), pages 1-24, March.
- Virta, Joni & Lietzén, Niko & Viitasaari, Lauri & Ilmonen, Pauliina, 2024. "Latent model extreme value index estimation," Journal of Multivariate Analysis, Elsevier, vol. 202(C).
- Marta Ferreira & Helena Ferreira, 2013. "Extremes of multivariate ARMAX processes," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 22(4), pages 606-627, November.
- Krajina, A., 2010. "An M-estimator of multivariate tail dependence," Other publications TiSEM 66518e07-db9a-4446-81be-c, Tilburg University, School of Economics and Management.
- Einmahl, John & Zhou, C., 2024. "Tail Copula Estimation for Heteroscedastic Extremes," Discussion Paper 2024-003, Tilburg University, Center for Economic Research.
- Rootzén, Holger & Segers, Johan & Wadsworth, Jennifer L., 2018. "Multivariate generalized Pareto distributions: Parametrizations, representations, and properties," Journal of Multivariate Analysis, Elsevier, vol. 165(C), pages 117-131.
- Kiriliouk, Anna, 2017. "Hypothesis testing for tail dependence parameters on the boundary of the parameter space with application to generalized max-linear models," LIDAM Discussion Papers ISBA 2017027, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Mourahib, Anas & Kiriliouk, Anna & Segers, Johan, 2023. "Multivariate generalized Pareto distributions along extreme directions," LIDAM Discussion Papers ISBA 2023034, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Hu, Shuang & Peng, Zuoxiang & Segers, Johan, 2022. "Modelling multivariate extreme value distributions via Markov trees," LIDAM Discussion Papers ISBA 2022021, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Bücher, Axel & Volgushev, Stanislav & Zou, Nan, 2019. "On second order conditions in the multivariate block maxima and peak over threshold method," Journal of Multivariate Analysis, Elsevier, vol. 173(C), pages 604-619.
- Rootzen, Holger & Segers, Johan & Wadsworth, Jennifer, 2017. "Multivariate generalized Pareto distributions: parametrizations, representations, and properties," LIDAM Discussion Papers ISBA 2017016, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Asenova, Stefka & Segers, Johan, 2022. "Max-linear graphical models with heavy-tailed factors on trees of transitive tournaments," LIDAM Discussion Papers ISBA 2022031, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Einmahl, John & Zhou, C., 2024. "Tail Copula Estimation for Heteroscedastic Extremes," Other publications TiSEM 6bcb09c5-8b19-48b8-9320-b, Tilburg University, School of Economics and Management.
- Carsten Bormann & Melanie Schienle & Julia Schaumburg, 2014. "A Test for the Portion of Bivariate Dependence in Multivariate Tail Risk," Tinbergen Institute Discussion Papers 14-024/III, Tinbergen Institute, revised 23 Jun 2014.
- Kiriliouk, Anna & Segers, Johan & Warchol, Michal, 2014. "Nonparametric estimation of extremal dependence," LIDAM Discussion Papers ISBA 2014044, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Bucher, Axel & Jaschke, Stefan & Wied, Dominik, 2013.
"Nonparametric tests for constant tail dependence with an application to energy and finance,"
LIDAM Discussion Papers ISBA
2013033, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Bücher, Axel & Jäschke, Stefan & Wied, Dominik, 2015. "Nonparametric tests for constant tail dependence with an application to energy and finance," Journal of Econometrics, Elsevier, vol. 187(1), pages 154-168.
- Krajina, A., 2010.
"An M-estimator of multivariate tail dependence,"
Other publications TiSEM
66518e07-db9a-4446-81be-c, Tilburg University, School of Economics and Management.
Cited by:
- Yuri Salazar & Wing Ng, 2015. "Nonparametric estimation of general multivariate tail dependence and applications to financial time series," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 24(1), pages 121-158, March.
- Krajina, A., 2009.
"A Method of Moments Estimator of Tail Dependence in Elliptical Copula Models,"
Discussion Paper
2009-42, Tilburg University, Center for Economic Research.
Cited by:
- Hashorva, Enkelejd, 2010. "On the residual dependence index of elliptical distributions," Statistics & Probability Letters, Elsevier, vol. 80(13-14), pages 1070-1078, July.
- Krajina, A., 2010. "An M-estimator of multivariate tail dependence," Other publications TiSEM 66518e07-db9a-4446-81be-c, Tilburg University, School of Economics and Management.
- Einmahl, J.H.J. & de Haan, L.F.M. & Krajina, A., 2009.
"Estimating Extreme Bivariate Quantile Regions,"
Discussion Paper
2009-29, Tilburg University, Center for Economic Research.
- Einmahl, J.H.J. & de Haan, L.F.M. & Krajina, A., 2009. "Estimating Extreme Bivariate Quantile Regions," Other publications TiSEM 007ce0a9-dd94-4301-ad62-1, Tilburg University, School of Economics and Management.
Cited by:
- Marco Rocco, 2011. "Extreme value theory for finance: a survey," Questioni di Economia e Finanza (Occasional Papers) 99, Bank of Italy, Economic Research and International Relations Area.
- Yi He & John H. J. Einmahl, 2017.
"Estimation of extreme depth-based quantile regions,"
Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 79(2), pages 449-461, March.
- He, Y. & Einmahl, J.H.J., 2014. "Estimation of Extreme Depth-Based Quantile Regions," Other publications TiSEM d6529c8a-8865-4c03-a064-a, Tilburg University, School of Economics and Management.
- He, Y. & Einmahl, J.H.J., 2014. "Estimation of Extreme Depth-Based Quantile Regions," Discussion Paper 2014-035, Tilburg University, Center for Economic Research.
- Grothe, Oliver & Korniichuk, Volodymyr & Manner, Hans, 2014. "Modeling multivariate extreme events using self-exciting point processes," Journal of Econometrics, Elsevier, vol. 182(2), pages 269-289.
- Einmahl, J.H.J. & Krajina, A. & Segers, J.J.J., 2007.
"A Method of Moments Estimator of Tail Dependence,"
Discussion Paper
2007-80, Tilburg University, Center for Economic Research.
- Einmahl, J.H.J. & Krajina, A. & Segers, J.J.J., 2007. "A Method of Moments Estimator of Tail Dependence," Other publications TiSEM 6ee60ab8-3c01-4bd9-aa5e-7, Tilburg University, School of Economics and Management.
- Einmahl, J.H.J. & Krajina, A. & Segers, J.J.J., 2008. "A method of moments estimator of tail dependence," Other publications TiSEM 448fd556-b3e0-4fb0-bcb7-8, Tilburg University, School of Economics and Management.
Cited by:
- Einmahl, John H. J. & Krajina, Andrea & Segers, Johan, 2012.
"An M-estimator for tail dependence in arbitrary dimensions,"
LIDAM Reprints ISBA
2012035, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- EINMAHL, John H.J. & KRAJINA, Andrea & Segers, Johan, 2011. "An M-Estimator For Tail Dependence In Arbitrary Dimensions," LIDAM Discussion Papers ISBA 2011005, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Einmahl, J.H.J. & Krajina, A. & Segers, J., 2011. "An M-Estimator for Tail Dependence in Arbitrary Dimensions," Other publications TiSEM 27508aa0-9825-4d9e-b1f4-1, Tilburg University, School of Economics and Management.
- Einmahl, J.H.J. & Krajina, A. & Segers, J., 2011. "An M-Estimator for Tail Dependence in Arbitrary Dimensions," Discussion Paper 2011-013, Tilburg University, Center for Economic Research.
- Einmahl, J.H.J. & Krajina, A. & Segers, J., 2012. "An M-estimator for tail dependence in arbitrary dimensions," Other publications TiSEM 7d447c58-3e8f-4387-b36b-e, Tilburg University, School of Economics and Management.
- Carsten Bormann & Julia Schaumburg & Melanie Schienle, 2016.
"Beyond Dimension two: A Test for Higher-Order Tail Risk,"
Journal of Financial Econometrics, Oxford University Press, vol. 14(3), pages 552-580.
- Bormann, Carsten & Schienle, Melanie & Schaumburg, Julia, 2014. "Beyond dimension two: A test for higher-order tail risk," SFB 649 Discussion Papers 2014-042, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Bormann, Carsten & Schaumburg, Julia & Schienle, Melanie, 2016. "Beyond dimension two: A test for higher-order tail risk," Working Paper Series in Economics 80, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
- Kiriliouk, Anna & Lee, Jeongjin & Segers, Johan, 2023. "X-Vine Models for Multivariate Extremes," LIDAM Discussion Papers ISBA 2023038, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Di Bernardino, Elena & Laloë, Thomas & Pakzad, Cambyse, 2024. "Estimation of extreme multivariate expectiles with functional covariates," Journal of Multivariate Analysis, Elsevier, vol. 202(C).
- Einmahl, John & Kiriliouk, Anna & Krajina, Andrea & Segers, Johan, 2016.
"An M-estimator of spatial tail dependence,"
LIDAM Reprints ISBA
2016004, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Einmahl, J.H.J. & Kiriliouk, A. & Krajina, A. & Segers, J., 2014. "An M-estimator of Spatial Tail Dependence," Discussion Paper 2014-021, Tilburg University, Center for Economic Research.
- John H. J. Einmahl & Anna Kiriliouk & Andrea Krajina & Johan Segers, 2016. "An M-estimator of spatial tail dependence," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 78(1), pages 275-298, January.
- Einmahl, John & Kiriliouk, Anna & Krajina, Andrea & Segers, Johan, 2014. "An M-estimator of spatial tail dependence," LIDAM Discussion Papers ISBA 2014008, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Einmahl, J.H.J. & Kiriliouk, A. & Krajina, A. & Segers, J., 2014. "An M-estimator of Spatial Tail Dependence," Other publications TiSEM 2d5c1a3b-a5f6-4329-8df2-f, Tilburg University, School of Economics and Management.
- Di Bernardino, Elena & Maume-Deschamps, Véronique & Prieur, Clémentine, 2013. "Estimating a bivariate tail: A copula based approach," Journal of Multivariate Analysis, Elsevier, vol. 119(C), pages 81-100.
- Krajina, A., 2009. "A Method of Moments Estimator of Tail Dependence in Elliptical Copula Models," Discussion Paper 2009-42, Tilburg University, Center for Economic Research.
- Einmahl, J.H.J. & Segers, J.J.J., 2009.
"Maximum empirical likelihood estimation of the spectral measure of an extreme-value distribution,"
Other publications TiSEM
ffef2e15-c4a8-471f-b730-1, Tilburg University, School of Economics and Management.
- Einmahl, J.H.J. & Segers, J.J.J., 2008. "Maximum Empirical Likelihood Estimation of the Spectral Measure of an Extreme Value Distribution," Other publications TiSEM e9340b9a-fe69-4e77-8594-8, Tilburg University, School of Economics and Management.
- Einmahl, J.H.J. & Segers, J.J.J., 2008. "Maximum Empirical Likelihood Estimation of the Spectral Measure of an Extreme Value Distribution," Discussion Paper 2008-42, Tilburg University, Center for Economic Research.
- Bücher Axel, 2014. "A note on nonparametric estimation of bivariate tail dependence," Statistics & Risk Modeling, De Gruyter, vol. 31(2), pages 151-162, June.
- Matthieu Garcin & Maxime L. D. Nicolas, 2021. "Nonparametric estimator of the tail dependence coefficient: balancing bias and variance," Papers 2111.11128, arXiv.org, revised Jul 2023.
- Krajina, A., 2009. "A Method of Moments Estimator of Tail Dependence in Elliptical Copula Models," Other publications TiSEM f3f5a961-02ff-4a2b-ab93-4, Tilburg University, School of Economics and Management.
- Fougères, Anne-Laure & Mercadier, Cécile & Nolan, John P., 2013. "Dense classes of multivariate extreme value distributions," Journal of Multivariate Analysis, Elsevier, vol. 116(C), pages 109-129.
- Krajina, A., 2010. "An M-estimator of multivariate tail dependence," Other publications TiSEM 66518e07-db9a-4446-81be-c, Tilburg University, School of Economics and Management.
- Michael Falk & Gilles Stupfler, 2021. "The Min-characteristic Function: Characterizing Distributions by Their Min-linear Projections," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 83(1), pages 254-282, February.
- Sla{dj}ana Babi'c & Christophe Ley & Lorenzo Ricci & David Veredas, 2020.
"TailCoR,"
Papers
2011.14817, arXiv.org.
- Lorenzo Ricci & David Veredas, 2012. "TailCoR," Working Papers 1227, Banco de España.
- Hu, Shuang & Peng, Zuoxiang & Segers, Johan, 2022. "Modelling multivariate extreme value distributions via Markov trees," LIDAM Discussion Papers ISBA 2022021, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
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NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 1 paper announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-ECM: Econometrics (1) 2015-01-03
- NEP-ORE: Operations Research (1) 2015-01-03
- NEP-URE: Urban and Real Estate Economics (1) 2015-01-03
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