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Non-Parametric Inference for Bivariate Extreme-Value Copulas

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  • Segers, J.J.J.

    (Tilburg University, Center For Economic Research)

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  • Segers, J.J.J., 2004. "Non-Parametric Inference for Bivariate Extreme-Value Copulas," Discussion Paper 2004-91, Tilburg University, Center for Economic Research.
    • Handle: RePEc:tiu:tiucen:3e837d24-e733-407c-bfaa-faf6cd0f5d9b
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    References listed on IDEAS

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    1. 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.
    2. Genest, Christian & Rivest, Louis-Paul, 1989. "A characterization of gumbel's family of extreme value distributions," Statistics & Probability Letters, Elsevier, vol. 8(3), pages 207-211, August.
    3. Jiménez, Javier Rojo & Villa-Diharce, Enrique & Flores, Miguel, 2001. "Nonparametric Estimation of the Dependence Function in Bivariate Extreme Value Distributions," Journal of Multivariate Analysis, Elsevier, vol. 76(2), pages 159-191, February.
    4. François Longin & Bruno Solnik, 2001. "Extreme Correlation of International Equity Markets," Journal of Finance, American Finance Association, vol. 56(2), pages 649-676, April.
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    Cited by:

    1. Fils-Villetard, A. & Guillou, A. & Segers, J., 2005. "Projection Estimates of Constrained Functional Parameters," Discussion Paper 2005-111, Tilburg University, Center for Economic Research.
    2. Fils-Villetard, A. & Guillou, A. & Segers, J., 2005. "Projection Estimates of Constrained Functional Parameters," Other publications TiSEM fe25c070-c313-4369-a6a5-8, Tilburg University, School of Economics and Management.
    3. Gudendorf, Gordon & Segers, Johan, 2011. "Nonparametric estimation of multivariate extreme-value copulas," LIDAM Discussion Papers ISBA 2011018, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).

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    estimator; nonparametric inference;

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