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Estimating the tail-dependence coefficient: Properties and pitfalls

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  • Frahm, Gabriel
  • Junker, Markus
  • Schmidt, Rafael

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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.
    • Handle: RePEc:eee:insuma:v:37:y:2005:i:1:p:80-100
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    References listed on IDEAS

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    1. 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.
    2. Jean-Paul Laurent & Jon Gregory, 2005. "Basket default swaps, CDOs and factor copulas," Post-Print hal-03679517, HAL.
    3. Thierry Ane & Cecile Kharoubi, 2003. "Dependence Structure and Risk Measure," The Journal of Business, University of Chicago Press, vol. 76(3), pages 411-438, July.
    4. Frahm, Gabriel & Junker, Markus & Szimayer, Alexander, 2003. "Elliptical copulas: applicability and limitations," Statistics & Probability Letters, Elsevier, vol. 63(3), pages 275-286, July.
    5. Einmahl, J. H. J. & Dehaan, L. & Huang, X., 1993. "Estimating a Multidimensional Extreme-Value Distribution," Journal of Multivariate Analysis, Elsevier, vol. 47(1), pages 35-47, October.
    6. Einmahl, John H.J. & de Haan, Laurens & Sinha, Ashoke Kumar, 1997. "Estimating the spectral measure of an extreme value distribution," Stochastic Processes and their Applications, Elsevier, vol. 70(2), pages 143-171, October.
    7. Rafael Schmidt, 2002. "Tail dependence for elliptically contoured distributions," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 55(2), pages 301-327, May.
    8. Drees, Holger & Kaufmann, Edgar, 1998. "Selecting the optimal sample fraction in univariate extreme value estimation," Stochastic Processes and their Applications, Elsevier, vol. 75(2), pages 149-172, July.
    9. Juri, Alessandro & Wuthrich, Mario V., 2002. "Copula convergence theorems for tail events," Insurance: Mathematics and Economics, Elsevier, vol. 30(3), pages 405-420, June.
    10. Fermanian, Jean-David, 2005. "Goodness-of-fit tests for copulas," Journal of Multivariate Analysis, Elsevier, vol. 95(1), pages 119-152, July.
    11. Manzotti, A. & Pérez, Francisco J. & Quiroz, Adolfo J., 2002. "A Statistic for Testing the Null Hypothesis of Elliptical Symmetry," Journal of Multivariate Analysis, Elsevier, vol. 81(2), pages 274-285, May.
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