IDEAS home Printed from https://ideas.repec.org/p/tiu/tiutis/3e837d24-e733-407c-bfaa-faf6cd0f5d9b.html
   My bibliography  Save this paper

Non-Parametric Inference for Bivariate Extreme-Value Copulas

Author

Listed:
  • Segers, J.J.J.

    (Tilburg University, School of Economics and Management)

Abstract

No abstract is available for this item.

Suggested Citation

  • Segers, J.J.J., 2004. "Non-Parametric Inference for Bivariate Extreme-Value Copulas," Other publications TiSEM 3e837d24-e733-407c-bfaa-f, Tilburg University, School of Economics and Management.
    • Handle: RePEc:tiu:tiutis:3e837d24-e733-407c-bfaa-faf6cd0f5d9b
    as

    Download full text from publisher

    File URL: https://pure.uvt.nl/ws/portalfiles/portal/629047/91.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Genest, Christian & Rivest, Louis-Paul, 1989. "A characterization of gumbel's family of extreme value distributions," Statistics & Probability Letters, Elsevier, vol. 8(3), pages 207-211, August.
    2. Jiménez, Javier Rojo & Villa-Diharce, Enrique & Flores, Miguel, 2001. "Nonparametric Estimation of the Dependence Function in Bivariate Extreme Value Distributions," Journal of Multivariate Analysis, Elsevier, vol. 76(2), pages 159-191, February.
    3. Deheuvels, Paul, 1991. "On the limiting behavior of the Pickands estimator for bivariate extreme-value distributions," Statistics & Probability Letters, Elsevier, vol. 12(5), pages 429-439, November.
    4. François Longin & Bruno Solnik, 2001. "Extreme Correlation of International Equity Markets," Journal of Finance, American Finance Association, vol. 56(2), pages 649-676, April.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Fils-Villetard, A. & Guillou, A. & Segers, J., 2005. "Projection Estimates of Constrained Functional Parameters," Discussion Paper 2005-111, Tilburg University, Center for Economic Research.
    2. Fils-Villetard, A. & Guillou, A. & Segers, J., 2005. "Projection Estimates of Constrained Functional Parameters," Other publications TiSEM fe25c070-c313-4369-a6a5-8, Tilburg University, School of Economics and Management.
    3. Gudendorf, Gordon & Segers, Johan, 2011. "Nonparametric estimation of multivariate extreme-value copulas," LIDAM Discussion Papers ISBA 2011018, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Segers, J.J.J., 2004. "Non-Parametric Inference for Bivariate Extreme-Value Copulas," Discussion Paper 2004-91, Tilburg University, Center for Economic Research.
    2. Falk, Michael & Reiss, Rolf-Dieter, 2005. "On Pickands coordinates in arbitrary dimensions," Journal of Multivariate Analysis, Elsevier, vol. 92(2), pages 426-453, February.
    3. 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.
    4. Falk, Michael & Reiss, Rolf-Dieter, 2005. "On the distribution of Pickands coordinates in bivariate EV and GP models," Journal of Multivariate Analysis, Elsevier, vol. 93(2), pages 267-295, April.
    5. Gudendorf, Gordon & Segers, Johan, 2011. "Nonparametric estimation of an extreme-value copula in arbitrary dimensions," Journal of Multivariate Analysis, Elsevier, vol. 102(1), pages 37-47, January.
    6. Dutfoy Anne & Parey Sylvie & Roche Nicolas, 2014. "Multivariate Extreme Value Theory - A Tutorial with Applications to Hydrology and Meteorology," Dependence Modeling, De Gruyter, vol. 2(1), pages 1-19, June.
    7. Bernhart German & Mai Jan-Frederik & Scherer Matthias, 2015. "On the construction of low-parametric families of min-stable multivariate exponential distributions in large dimensions," Dependence Modeling, De Gruyter, vol. 3(1), pages 1-18, May.
    8. Capéraà, Philippe & Fougères, Anne-Laure & Genest, Christian, 2000. "Bivariate Distributions with Given Extreme Value Attractor," Journal of Multivariate Analysis, Elsevier, vol. 72(1), pages 30-49, January.
    9. Matthieu Garcin & Maxime L. D. Nicolas, 2024. "Nonparametric estimator of the tail dependence coefficient: balancing bias and variance," Statistical Papers, Springer, vol. 65(8), pages 4875-4913, October.
    10. Gudendorf, Gordon & Segers, Johan, 2011. "Nonparametric estimation of multivariate extreme-value copulas," LIDAM Discussion Papers ISBA 2011018, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    11. Marfatia, Hardik A., 2017. "A fresh look at integration of risks in the international stock markets: A wavelet approach," Review of Financial Economics, Elsevier, vol. 34(C), pages 33-49.
    12. Shi, Huai-Long & Zhou, Wei-Xing, 2022. "Factor volatility spillover and its implications on factor premia," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    13. Rand Kwong Yew Low, 2018. "Vine copulas: modelling systemic risk and enhancing higher‐moment portfolio optimisation," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(S1), pages 423-463, November.
    14. Karen K. Lewis, 2011. "Global Asset Pricing," Annual Review of Financial Economics, Annual Reviews, vol. 3(1), pages 435-466, December.
    15. Dominique Guegan & Giovanni de Luca & Giorgia Rivieccio, 2017. "Three-stage estimation method for non-linear multiple time-series," Post-Print halshs-01439860, HAL.
    16. Li, Xiao-Ming & Rose, Lawrence C., 2009. "The tail risk of emerging stock markets," Emerging Markets Review, Elsevier, vol. 10(4), pages 242-256, December.
    17. Wu, Kai & Zhu, Jingran & Xu, Mingli & Yang, Lu, 2020. "Can crude oil drive the co-movement in the international stock market? Evidence from partial wavelet coherence analysis," The North American Journal of Economics and Finance, Elsevier, vol. 53(C).
    18. Berens, Tobias & Weiß, Gregor N.F. & Wied, Dominik, 2015. "Testing for structural breaks in correlations: Does it improve Value-at-Risk forecasting?," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 135-152.
    19. Geluk, J.L. & De Vries, C.G., 2006. "Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities," Insurance: Mathematics and Economics, Elsevier, vol. 38(1), pages 39-56, February.
    20. Jozef Baruník & Tobias Kley, 2019. "Quantile coherency: A general measure for dependence between cyclical economic variables," The Econometrics Journal, Royal Economic Society, vol. 22(2), pages 131-152.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:tiu:tiutis:3e837d24-e733-407c-bfaa-faf6cd0f5d9b. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Richard Broekman (email available below). General contact details of provider: https://www.tilburguniversity.edu/about/schools/economics-and-management/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.