A Method of Moments Estimator of Tail Dependence
AbstractAMS 2000 subject classifications: 60G70, 62H12, 62H15, 62F05, 62F12, 62F25.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 2007-80.
Date of creation: 2007
Date of revision:
Contact details of provider:
Web page: http://center.uvt.nl
asymptotic properties; confidence regions; goodness-of-fit test; meta-elliptical distribution; method of moments; multivariate extremes; tail dependence.;
Other versions of this item:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
This paper has been announced in the following NEP Reports:
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- de Haan, Laurens & Neves, Cláudia & Peng, Liang, 2008. "Parametric tail copula estimation and model testing," Journal of Multivariate Analysis, Elsevier, vol. 99(6), pages 1260-1275, July.
- Di Bernardino, Elena & Maume-Deschamps, Véronique & Prieur, Clémentine, 2013. "Estimating a bivariate tail: A copula based approach," Journal of Multivariate Analysis, Elsevier, vol. 119(C), pages 81-100.
- Fougères, Anne-Laure & Mercadier, Cécile & Nolan, John P., 2013. "Dense classes of multivariate extreme value distributions," Journal of Multivariate Analysis, Elsevier, vol. 116(C), pages 109-129.
- Krajina, A., 2009. "A Method of Moments Estimator of Tail Dependence in Elliptical Copula Models," Discussion Paper 2009-42, Tilburg University, Center for Economic Research.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Richard Broekman).
If references are entirely missing, you can add them using this form.