Bootstrap approximation of tail dependence function
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References listed on IDEAS
- Danielsson, J. & de Haan, L. & Peng, L. & de Vries, C. G., 2001.
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Cited by:
- Liang Peng & Yongcheng Qi, 2010. "Smoothed jackknife empirical likelihood method for tail copulas," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 19(3), pages 514-536, November.
- Asimit, Alexandru V. & Gerrard, Russell & Hou, Yanxi & Peng, Liang, 2016. "Tail dependence measure for examining financial extreme co-movements," Journal of Econometrics, Elsevier, vol. 194(2), pages 330-348.
- Bücher Axel, 2014. "A note on nonparametric estimation of bivariate tail dependence," Statistics & Risk Modeling, De Gruyter, vol. 31(2), pages 1-12, June.
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Keywords
62G32 62G09 Bootstrap Confidence band Dependence function Extremes Tail empirical process;JEL classification:
Statistics
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