An M-estimator for tail dependence in arbitrary dimensions
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"A Method of Moments Estimator of Tail Dependence,"
Other publications TiSEM
6ee60ab8-3c01-4bd9-aa5e-7, Tilburg University, School of Economics and Management.
- 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.
- Einmahl, J.H.J. & Krajina, A. & Segers, J.J.J., 2008. "A method of moments estimator of tail dependence," Other publications TiSEM 448fd556-b3e0-4fb0-bcb7-8, Tilburg University, School of Economics and Management.
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Stochastic Processes and their Applications, Elsevier, vol. 70(1), pages 31-58, October.
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