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Tail Copula Estimation for Heteroscedastic Extremes

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  • Einmahl, John

    (Tilburg University, Center For Economic Research)

  • Zhou, C.

    (Tilburg University, Center For Economic Research)

Abstract

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  • Einmahl, John & Zhou, C., 2024. "Tail Copula Estimation for Heteroscedastic Extremes," Discussion Paper 2024-003, Tilburg University, Center for Economic Research.
    • Handle: RePEc:tiu:tiucen:6bcb09c5-8b19-48b8-9320-b80e0d9db36b
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    File URL: https://pure.uvt.nl/ws/portalfiles/portal/87194937/2024-003.pdf
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    References listed on IDEAS

    as
    1. 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.
    2. Drees, Holger & Huang, Xin, 1998. "Best Attainable Rates of Convergence for Estimators of the Stable Tail Dependence Function," Journal of Multivariate Analysis, Elsevier, vol. 64(1), pages 25-47, January.
    3. Einmahl, John H. & Segers, Johan, 2021. "Empirical tail copulas for functional data," LIDAM Reprints ISBA 2021003, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    4. Côté, Marie-Pier & Genest, Christian & Omelka, Marek, 2019. "Rank-based inference tools for copula regression, with property and casualty insurance applications," Insurance: Mathematics and Economics, Elsevier, vol. 89(C), pages 1-15.
    5. Peng, Liang & Qi, Yongcheng, 2008. "Bootstrap approximation of tail dependence function," Journal of Multivariate Analysis, Elsevier, vol. 99(8), pages 1807-1824, September.
    6. John H. J. Einmahl & Laurens Haan & Chen Zhou, 2016. "Statistics of heteroscedastic extremes," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 78(1), pages 31-51, January.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Extreme value statistics; functional limit theorems; non-identical distributions; tail empirical process; tail dependence;
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