Testing for Tail Independence in Extreme Value models
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References listed on IDEAS
- Peng, L., 1999. "Estimation of the coefficient of tail dependence in bivariate extremes," Statistics & Probability Letters, Elsevier, vol. 43(4), pages 399-409, July.
- Hüsler, Jürg & Reiss, Rolf-Dieter, 1989. "Maxima of normal random vectors: Between independence and complete dependence," Statistics & Probability Letters, Elsevier, vol. 7(4), pages 283-286, February.
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- Falk, Michael & Guillou, Armelle, 2008. "Peaks-over-threshold stability of multivariate generalized Pareto distributions," Journal of Multivariate Analysis, Elsevier, vol. 99(4), pages 715-734, April.
- Dutfoy Anne & Parey Sylvie & Roche Nicolas, 2014. "Multivariate Extreme Value Theory - A Tutorial with Applications to Hydrology and Meteorology," Dependence Modeling, De Gruyter Open, vol. 2(1), pages 1-19, June.
- Aboura, Sofiane & Wagner, Niklas, 2016.
"Extreme asymmetric volatility: Stress and aggregate asset prices,"
Journal of International Financial Markets, Institutions and Money,
Elsevier, vol. 41(C), pages 47-59.
- Sofiane Aboura & Niklas Wagner, 2015. "Extreme asymmetric volatility: Stress and aggregate asset prices," Post-Print hal-01275450, HAL.
- Michel, René, 2008. "Some notes on multivariate generalized Pareto distributions," Journal of Multivariate Analysis, Elsevier, vol. 99(6), pages 1288-1301, July.
More about this item
KeywordsBivariate extremes; Pickands dependence function; Tail independence; Tail dependence parameter; Neyman–Pearson test; Kolmogorov–Smirnov test; Fisher’s κ; Chi-square goodness-of-fit test; Differentiable spectral neighborhood; Generalized Pareto distribution;
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