A note on a non-parametric tail dependence estimator
AbstractWe present a non-parametric tail dependence estimator which arises naturally from a specific regression model. Above that, this tail dependence estimator also results from a specific copula mixture. --
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Bibliographic InfoPaper provided by Friedrich-Alexander-University Erlangen-Nuremberg, Chair of Statistics and Econometrics in its series Discussion Papers with number 76/2006.
Date of creation: 2006
Date of revision:
Upper tail dependence; nonparametric estimation; copula;
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- Frahm, Gabriel & Junker, Markus & Schmidt, Rafael, 2005. "Estimating the tail-dependence coefficient: Properties and pitfalls," Insurance: Mathematics and Economics, Elsevier, vol. 37(1), pages 80-100, August.
- Rafael Schmidt & Ulrich Stadtmüller, 2006. "Non-parametric Estimation of Tail Dependence," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics & Finnish Statistical Society & Norwegian Statistical Association & Swedish Statistical Association, vol. 33(2), pages 307-335.
- Fischer, Matthias J. & Hinzmann, Gerd, 2006. "A new class of copulas with tail dependence and a generalized tail dependence estimator," Discussion Papers 77/2006, Friedrich-Alexander-University Erlangen-Nuremberg, Chair of Statistics and Econometrics.
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