An estimator of the stable tail dependence function based on the empirical beta copula
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"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.
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- Segers, Johan & Sibuya, Masaaki & Tsukahara, Hideatsu, 2017. "The empirical beta copula," LIDAM Reprints ISBA 2017005, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Beirlant, Jan & Escobar-Bach, Mikael & Goegebeur, Yuri & Guillou, Armelle, 2016. "Bias-corrected estimation of stable tail dependence function," Journal of Multivariate Analysis, Elsevier, vol. 143(C), pages 453-466.
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"Nonparametric tests for constant tail dependence with an application to energy and finance,"
Journal of Econometrics, Elsevier, vol. 187(1), pages 154-168.
- 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).
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- 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).
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