A Method of Moments Estimator of Tail Dependence
AbstractAMS 2000 subject classifications: 60G70, 62H12, 62H15, 62F05, 62F12, 62F25.
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Bibliographic InfoPaper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 2007-80.
Date of creation: 2007
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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
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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.
- 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.
- 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.
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