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Truncated Maximum Likelihood and Nonparametric Tail Analysis

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  • Christian Gourieroux

    (Crest)

  • Joanna Jasiak

    (Crest)

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  • Christian Gourieroux & Joanna Jasiak, 1998. "Truncated Maximum Likelihood and Nonparametric Tail Analysis," Working Papers 98-25, Center for Research in Economics and Statistics.
    • Handle: RePEc:crs:wpaper:98-25
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    File URL: http://crest.science/RePEc/wpstorage/1998-25.pdf
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    Cited by:

    1. Y. Malevergne & D. Sornette, 2003. "Testing the Gaussian copula hypothesis for financial assets dependences," Quantitative Finance, Taylor & Francis Journals, vol. 3(4), pages 231-250.
    2. Engle, Robert F. & Manganelli, Simone, 2001. "Value at risk models in finance," Working Paper Series 75, European Central Bank.
    3. Bali, Turan G. & Neftci, Salih N., 2003. "Disturbing extremal behavior of spot rate dynamics," Journal of Empirical Finance, Elsevier, vol. 10(4), pages 455-477, September.

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