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Andrea Krajina

Personal Details

First Name:Andrea
Middle Name:
Last Name:Krajina
Suffix:
RePEc Short-ID:pkr112
http://www.akrajina.com

Research output

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Jump to: Working papers

Working papers

  1. Einmahl, J.H.J. & Kiriliouk, A. & Krajina, A. & Segers, J., 2014. "An M-estimator of Spatial Tail Dependence," Discussion Paper 2014-021, Tilburg University, Center for Economic Research.
  2. Einmahl, J.H.J. & Krajina, A. & Segers, J., 2012. "An M-estimator for tail dependence in arbitrary dimensions," Other publications TiSEM 7d447c58-3e8f-4387-b36b-e, Tilburg University, School of Economics and Management.
  3. Krajina, A., 2010. "An M-estimator of multivariate tail dependence," Other publications TiSEM 66518e07-db9a-4446-81be-c, Tilburg University, School of Economics and Management.
  4. Krajina, A., 2009. "A Method of Moments Estimator of Tail Dependence in Elliptical Copula Models," Discussion Paper 2009-42, Tilburg University, Center for Economic Research.
  5. Einmahl, J.H.J. & de Haan, L.F.M. & Krajina, A., 2009. "Estimating Extreme Bivariate Quantile Regions," Discussion Paper 2009-29, Tilburg University, Center for Economic Research.
  6. Einmahl, J.H.J. & Krajina, A. & Segers, J.J.J., 2007. "A Method of Moments Estimator of Tail Dependence," Discussion Paper 2007-80, Tilburg University, Center for Economic Research.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Einmahl, J.H.J. & Kiriliouk, A. & Krajina, A. & Segers, J., 2014. "An M-estimator of Spatial Tail Dependence," Discussion Paper 2014-021, Tilburg University, Center for Economic Research.

    Cited by:

    1. Einmahl, John & Kiriliouk, A. & Segers, J.J.J., 2016. "A Continuous Updating Weighted Least Squares Estimator of Tail Dependence in High Dimensions," Discussion Paper 2016-002, Tilburg University, Center for Economic Research.

  2. Einmahl, J.H.J. & Krajina, A. & Segers, J., 2012. "An M-estimator for tail dependence in arbitrary dimensions," Other publications TiSEM 7d447c58-3e8f-4387-b36b-e, Tilburg University, School of Economics and Management.

    Cited by:

    1. Carsten Bormann & Julia Schaumburg & Melanie Schienle, 2016. "Beyond Dimension two: A Test for Higher-Order Tail Risk," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 14(3), pages 552-580.
    2. Bücher Axel, 2014. "A note on nonparametric estimation of bivariate tail dependence," Statistics & Risk Modeling, De Gruyter, vol. 31(2), pages 1-12, June.
    3. Goix, Nicolas & Sabourin, Anne & Clémençon, Stephan, 2017. "Sparse representation of multivariate extremes with applications to anomaly detection," Journal of Multivariate Analysis, Elsevier, vol. 161(C), pages 12-31.
    4. Chollete, Lorán & de la Peña, Victor & Lu, Ching-Chih, 2012. "International diversification: An extreme value approach," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 871-885.
    5. Fougères, Anne-Laure & Mercadier, Cécile & Nolan, John P., 2013. "Dense classes of multivariate extreme value distributions," Journal of Multivariate Analysis, Elsevier, vol. 116(C), pages 109-129.
    6. Marta Ferreira & Helena Ferreira, 2013. "Extremes of multivariate ARMAX processes," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 22(4), pages 606-627, November.
    7. Krajina, A., 2010. "An M-estimator of multivariate tail dependence," Other publications TiSEM 66518e07-db9a-4446-81be-c, Tilburg University, School of Economics and Management.
    8. Einmahl, John & Kiriliouk, A. & Segers, J.J.J., 2016. "A Continuous Updating Weighted Least Squares Estimator of Tail Dependence in High Dimensions," Discussion Paper 2016-002, Tilburg University, Center for Economic Research.
    9. John H. J. Einmahl & Anna Kiriliouk & Andrea Krajina & Johan Segers, 2016. "An M-estimator of spatial tail dependence," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 78(1), pages 275-298, January.
    10. Carsten Bormann & Melanie Schienle & Julia Schaumburg, 2014. "A Test for the Portion of Bivariate Dependence in Multivariate Tail Risk," Tinbergen Institute Discussion Papers 14-024/III, Tinbergen Institute, revised 23 Jun 2014.
    11. Einmahl, J.H.J. & Kiriliouk, A. & Krajina, A. & Segers, J., 2014. "An M-estimator of Spatial Tail Dependence," Discussion Paper 2014-021, Tilburg University, Center for Economic Research.
    12. Bücher, Axel & Jäschke, Stefan & Wied, Dominik, 2015. "Nonparametric tests for constant tail dependence with an application to energy and finance," Journal of Econometrics, Elsevier, vol. 187(1), pages 154-168.

  3. Krajina, A., 2010. "An M-estimator of multivariate tail dependence," Other publications TiSEM 66518e07-db9a-4446-81be-c, Tilburg University, School of Economics and Management.

    Cited by:

    1. Yuri Salazar & Wing Ng, 2015. "Nonparametric estimation of general multivariate tail dependence and applications to financial time series," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 24(1), pages 121-158, March.

  4. Krajina, A., 2009. "A Method of Moments Estimator of Tail Dependence in Elliptical Copula Models," Discussion Paper 2009-42, Tilburg University, Center for Economic Research.

    Cited by:

    1. Hashorva, Enkelejd, 2010. "On the residual dependence index of elliptical distributions," Statistics & Probability Letters, Elsevier, vol. 80(13-14), pages 1070-1078, July.
    2. Krajina, A., 2010. "An M-estimator of multivariate tail dependence," Other publications TiSEM 66518e07-db9a-4446-81be-c, Tilburg University, School of Economics and Management.

  5. Einmahl, J.H.J. & de Haan, L.F.M. & Krajina, A., 2009. "Estimating Extreme Bivariate Quantile Regions," Discussion Paper 2009-29, Tilburg University, Center for Economic Research.

    Cited by:

    1. Marco Rocco, 2011. "Extreme value theory for finance: a survey," Questioni di Economia e Finanza (Occasional Papers) 99, Bank of Italy, Economic Research and International Relations Area.
    2. Grothe, Oliver & Korniichuk, Volodymyr & Manner, Hans, 2014. "Modeling multivariate extreme events using self-exciting point processes," Journal of Econometrics, Elsevier, vol. 182(2), pages 269-289.
    3. He, Y. & Einmahl, J.H.J., 2014. "Estimation of Extreme Depth-Based Quantile Regions," Discussion Paper 2014-035, Tilburg University, Center for Economic Research.

  6. Einmahl, J.H.J. & Krajina, A. & Segers, J.J.J., 2007. "A Method of Moments Estimator of Tail Dependence," Discussion Paper 2007-80, Tilburg University, Center for Economic Research.

    Cited by:

    1. Einmahl, J.H.J. & Krajina, A. & Segers, J., 2011. "An M-Estimator for Tail Dependence in Arbitrary Dimensions," Discussion Paper 2011-013, Tilburg University, Center for Economic Research.
    2. Carsten Bormann & Julia Schaumburg & Melanie Schienle, 2016. "Beyond Dimension two: A Test for Higher-Order Tail Risk," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 14(3), pages 552-580.
    3. Di Bernardino, Elena & Maume-Deschamps, Véronique & Prieur, Clémentine, 2013. "Estimating a bivariate tail: A copula based approach," Journal of Multivariate Analysis, Elsevier, vol. 119(C), pages 81-100.
    4. Krajina, A., 2009. "A Method of Moments Estimator of Tail Dependence in Elliptical Copula Models," Discussion Paper 2009-42, Tilburg University, Center for Economic Research.
    5. Bücher Axel, 2014. "A note on nonparametric estimation of bivariate tail dependence," Statistics & Risk Modeling, De Gruyter, vol. 31(2), pages 1-12, June.
    6. Fougères, Anne-Laure & Mercadier, Cécile & Nolan, John P., 2013. "Dense classes of multivariate extreme value distributions," Journal of Multivariate Analysis, Elsevier, vol. 116(C), pages 109-129.
    7. Krajina, A., 2010. "An M-estimator of multivariate tail dependence," Other publications TiSEM 66518e07-db9a-4446-81be-c, Tilburg University, School of Economics and Management.
    8. John H. J. Einmahl & Anna Kiriliouk & Andrea Krajina & Johan Segers, 2016. "An M-estimator of spatial tail dependence," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 78(1), pages 275-298, January.
    9. Einmahl, J.H.J. & Kiriliouk, A. & Krajina, A. & Segers, J., 2014. "An M-estimator of Spatial Tail Dependence," Discussion Paper 2014-021, Tilburg University, Center for Economic Research.

More information

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Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 2 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (1) 2015-01-03
  2. NEP-ORE: Operations Research (1) 2015-01-03
  3. NEP-URE: Urban & Real Estate Economics (1) 2015-01-03

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