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Extreme value copula estimation based on block maxima of a multivariate stationary time series

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  • Bucher, Axel
  • Segers, Johan

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  • Bucher, Axel & Segers, Johan, 2013. "Extreme value copula estimation based on block maxima of a multivariate stationary time series," LIDAM Discussion Papers ISBA 2013049, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • Handle: RePEc:aiz:louvad:2013049
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    References listed on IDEAS

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    1. Charpentier, Arthur & Segers, Johan, 2009. "Tails of multivariate Archimedean copulas," Journal of Multivariate Analysis, Elsevier, vol. 100(7), pages 1521-1537, August.
    2. Kojadinovic, Jean D. & Segers, Johan & Yan, Yun, 2011. "Large-sample tests of extreme-value dependence for multivariate copulas," LIDAM Discussion Papers ISBA 2011012, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    3. Gudendorf, Gordon & Segers, Johan, 2011. "Nonparametric estimation of an extreme-value copula in arbitrary dimensions," LIDAM Reprints ISBA 2011003, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    4. Segers, Johan, 2012. "Asymptotics of empirical copula processes under non-restrictive smoothness assumptions," LIDAM Reprints ISBA 2012009, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    5. Deheuvels, Paul, 1991. "On the limiting behavior of the Pickands estimator for bivariate extreme-value distributions," Statistics & Probability Letters, Elsevier, vol. 12(5), pages 429-439, November.
    6. Amram, Fred, 1985. "Multivariate extreme value distributions for stationary Gaussian sequences," Journal of Multivariate Analysis, Elsevier, vol. 16(2), pages 237-240, April.
    7. Bücher, Axel & Volgushev, Stanislav, 2013. "Empirical and sequential empirical copula processes under serial dependence," Journal of Multivariate Analysis, Elsevier, vol. 119(C), pages 61-70.
    8. Kojadinovic, Ivan & Segers, Johan & Yan, Jun, 2011. "Large-sample tests of extreme-value dependence for multivariate copulas," LIDAM Reprints ISBA 2011025, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    9. Gudendorf, Gordon & Segers, Johan, 2012. "Nonparametric estimation of multivariate extreme-value copulas," LIDAM Reprints ISBA 2012011, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    10. Hsing, Tailen, 1989. "Extreme value theory for multivariate stationary sequences," Journal of Multivariate Analysis, Elsevier, vol. 29(2), pages 274-291, May.
    11. Bücher, Axel & Dette, Holger, 2010. "A note on bootstrap approximations for the empirical copula process," Statistics & Probability Letters, Elsevier, vol. 80(23-24), pages 1925-1932, December.
    12. Ivan Kojadinovic & Jun Yan, 2012. "A Non-parametric Test of Exchangeability for Extreme-Value and Left-Tail Decreasing Bivariate Copulas," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 39(3), pages 480-496, September.
    13. Gudendorf, Gordon & Segers, Johan, 2011. "Nonparametric estimation of an extreme-value copula in arbitrary dimensions," Journal of Multivariate Analysis, Elsevier, vol. 102(1), pages 37-47, January.
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    Cited by:

    1. Mayer, Alexander & Wied, Dominik, 2023. "Estimation and inference in factor copula models with exogenous covariates," Journal of Econometrics, Elsevier, vol. 235(2), pages 1500-1521.

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