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A note on a non-parametric tail dependence estimator

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  • Fischer, Matthias J.
  • Dörflinger, Marco
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    Abstract

    We 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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    File URL: http://econstor.eu/bitstream/10419/29588/1/614056446.pdf
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    Bibliographic Info

    Paper provided by Friedrich-Alexander-University Erlangen-Nuremberg, Chair of Statistics and Econometrics in its series Discussion Papers with number 76/2006.

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    Date of creation: 2006
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    Handle: RePEc:zbw:faucse:762006

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    Web page: http://www.statistik.wiso.uni-erlangen.de/
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    Related research

    Keywords: Upper tail dependence; nonparametric estimation; copula;

    References

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    1. 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.
    2. 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.
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    Cited by:
    1. 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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