IDEAS home Printed from https://ideas.repec.org/r/eee/stapro/v43y1999i4p399-409.html
   My bibliography  Save this item

Estimation of the coefficient of tail dependence in bivariate extremes

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Cooley, Daniel & Davis, Richard A. & Naveau, Philippe, 2010. "The pairwise beta distribution: A flexible parametric multivariate model for extremes," Journal of Multivariate Analysis, Elsevier, vol. 101(9), pages 2103-2117, October.
  2. Phornchanok Cumperayot Kouwenberg, 2015. "Stability of Thai Baht: Tales from the Tails," PIER Discussion Papers 1, Puey Ungphakorn Institute for Economic Research.
  3. Gissibl, Nadine & Klüppelberg, Claudia & Otto, Moritz, 2018. "Tail dependence of recursive max-linear models with regularly varying noise variables," Econometrics and Statistics, Elsevier, vol. 6(C), pages 149-167.
  4. Lehtomaa, Jaakko & Resnick, Sidney I., 2020. "Asymptotic independence and support detection techniques for heavy-tailed multivariate data," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 262-277.
  5. Cumperayot, Phornchanok & Kouwenberg, Roy, 2013. "Early warning systems for currency crises: A multivariate extreme value approach," Journal of International Money and Finance, Elsevier, vol. 36(C), pages 151-171.
  6. Chiapino, Mael & Sabourin, Anne & Segers, Johan, 2018. "Identifying groups of variables with the potential of being large simultaneously," LIDAM Discussion Papers ISBA 2018006, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  7. 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.
  8. Christophe Dutang & Yuri Goegebeur & Armelle Guillou, 2016. "Robust and Bias-Corrected Estimation of the Probability of Extreme Failure Sets," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 78(1), pages 52-86, February.
  9. Liu, Aiai & Hou, Yanxi & Peng, Liang, 2015. "Interval estimation for a measure of tail dependence," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 294-305.
  10. Roch, Oriol & Alegre, Antonio, 2006. "Testing the bivariate distribution of daily equity returns using copulas. An application to the Spanish stock market," Computational Statistics & Data Analysis, Elsevier, vol. 51(2), pages 1312-1329, November.
  11. Asimit, Alexandru V. & Gerrard, Russell, 2016. "On the worst and least possible asymptotic dependence," Journal of Multivariate Analysis, Elsevier, vol. 144(C), pages 218-234.
  12. Asimit, Alexandru V. & Gerrard, Russell & Hou, Yanxi & Peng, Liang, 2016. "Tail dependence measure for examining financial extreme co-movements," Journal of Econometrics, Elsevier, vol. 194(2), pages 330-348.
  13. Marta Ferreira & Helena Ferreira, 2012. "On extremal dependence: some contributions," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 21(3), pages 566-583, September.
  14. Zhang, Zhengjun & Huang, James, 2006. "Extremal financial risk models and portfolio evaluation," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2313-2338, December.
  15. Philipp Hartmann & Stefan Straetmans & Casper de Vries, 2007. "Banking System Stability. A Cross-Atlantic Perspective," NBER Chapters, in: The Risks of Financial Institutions, pages 133-188, National Bureau of Economic Research, Inc.
  16. de Valk, Cees, 2016. "A large deviations approach to the statistics of extreme events," Other publications TiSEM 117b3ba0-0e40-4277-b25e-d, Tilburg University, School of Economics and Management.
  17. M. Mehdi Bateni & Mario L. V. Martina & ·Marcello Arosio, 2022. "Multivariate return period for different types of flooding in city of Monza, Italy," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 114(1), pages 811-823, October.
  18. Michael Falk & René Michel, 2006. "Testing for Tail Independence in Extreme Value models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 58(2), pages 261-290, June.
  19. Phornchanok Cumperayot, 2015. "Stability of Thai Baht: Tales from the Tails," PIER Discussion Papers 1., Puey Ungphakorn Institute for Economic Research, revised Sep 2015.
  20. Zhang, Zhengjun & Shinki, Kazuhiko, 2007. "Extreme co-movements and extreme impacts in high frequency data in finance," Journal of Banking & Finance, Elsevier, vol. 31(5), pages 1399-1415, May.
  21. Goegebeur, Yuri & Guillou, Armelle & Ho, Nguyen Khanh Le & Qin, Jing, 2020. "Robust nonparametric estimation of the conditional tail dependence coefficient," Journal of Multivariate Analysis, Elsevier, vol. 178(C).
  22. Zhang, Ran & Czado, Claudia & Min, Aleksey, 2011. "Efficient maximum likelihood estimation of copula based meta t-distributions," Computational Statistics & Data Analysis, Elsevier, vol. 55(3), pages 1196-1214, March.
  23. P. Hartmann & S. Straetmans & C. G. de Vries, 2004. "Asset Market Linkages in Crisis Periods," The Review of Economics and Statistics, MIT Press, vol. 86(1), pages 313-326, February.
  24. Jonathan B. Hill, 2004. "Gaussian Tests of "Extremal White Noise" for Dependent, Heterogeneous, Heavy Tailed Time Series with an Application," Econometrics 0411014, University Library of Munich, Germany, revised 04 Nov 2005.
  25. Y Hoga, 2018. "A structural break test for extremal dependence in β-mixing random vectors," Biometrika, Biometrika Trust, vol. 105(3), pages 627-643.
  26. Christophe Dutang & Yuri Goegebeur & Armelle Guillou, 2016. "Robust and bias-corrected estimation of the probability of extreme failure sets," Post-Print hal-01616187, HAL.
  27. Nolde, Natalia, 2014. "Geometric interpretation of the residual dependence coefficient," Journal of Multivariate Analysis, Elsevier, vol. 123(C), pages 85-95.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.