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An estimator of the stable tail dependence function based on the empirical beta copula

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  • Kiriliouk, Anna
  • Segers, Johan
  • Tafakori, Laleh

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  • Kiriliouk, Anna & Segers, Johan & Tafakori, Laleh, 2018. "An estimator of the stable tail dependence function based on the empirical beta copula," LIDAM Reprints ISBA 2018033, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • Handle: RePEc:aiz:louvar:2018033
    Note: In : Extremes, vol. 21, no. 4, p. 581-600 (2018)
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    Cited by:

    1. 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).
    2. Beck, Nicholas & Di Bernardino, Elena & Mailhot, Mélina, 2021. "Semi-parametric estimation of multivariate extreme expectiles," Journal of Multivariate Analysis, Elsevier, vol. 184(C).
    3. 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).
    4. Chabi-Yo, Fousseni & Huggenberger, Markus & Weigert, Florian, 2022. "Multivariate crash risk," Journal of Financial Economics, Elsevier, vol. 145(1), pages 129-153.
    5. 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.

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