Arbeitspapier
A note on a non-parametric tail dependence estimator
We present a non-parametric tail dependence estimator which arises naturally from a specific regression model. Above that, this tail dependence estimator also results from a specific copula mixture.
- Sprache
-
Englisch
- Erschienen in
-
Series: Diskussionspapier ; No. 76/2006
- Klassifikation
-
Wirtschaft
- Thema
-
Upper tail dependence
nonparametric estimation
copula
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Fischer, Matthias J.
Dörflinger, Marco
- Ereignis
-
Veröffentlichung
- (wer)
-
Friedrich-Alexander-Universität Erlangen-Nürnburg, Lehrstuhl für Statistik und Ökonometrie
- (wo)
-
Nürnberg
- (wann)
-
2006
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Fischer, Matthias J.
- Dörflinger, Marco
- Friedrich-Alexander-Universität Erlangen-Nürnburg, Lehrstuhl für Statistik und Ökonometrie
Entstanden
- 2006
Ähnliche Objekte (12)
A new class of copulas with tail dependence and a generalized tail dependence estimator
The Non-Parametric Identification of Lagged Duration Dependence
A note on nonparametric estimation of bivariate tail dependence
Bahadur Representation for the Nonparametric M-Estimator Under Alpha-mixing Dependence
Monte Carlo-based tail exponent estimator
Nonparametric tests for constant tail dependence with an application to energy and finance
Long range dependence and non-parametric statistical inference for infinite-variance random functions
Copulae and tail dependence
Nonparametric tests for tail monotonicity
Confidence regions, non-parametric regression
On non-parametric fatigue optimization
A Nonparametric Partially Identified Estimator for Equivalence Scales
A new class of copulas with tail dependence and a generalized tail dependence estimator
The Non-Parametric Identification of Lagged Duration Dependence
A note on nonparametric estimation of bivariate tail dependence
Bahadur Representation for the Nonparametric M-Estimator Under Alpha-mixing Dependence
Monte Carlo-based tail exponent estimator
Nonparametric tests for constant tail dependence with an application to energy and finance
Long range dependence and non-parametric statistical inference for infinite-variance random functions
Copulae and tail dependence
Nonparametric tests for tail monotonicity
Confidence regions, non-parametric regression
On non-parametric fatigue optimization
A Nonparametric Partially Identified Estimator for Equivalence Scales
A new class of copulas with tail dependence and a generalized tail dependence estimator
The Non-Parametric Identification of Lagged Duration Dependence
A note on nonparametric estimation of bivariate tail dependence
Bahadur Representation for the Nonparametric M-Estimator Under Alpha-mixing Dependence
Monte Carlo-based tail exponent estimator
Nonparametric tests for constant tail dependence with an application to energy and finance
Long range dependence and non-parametric statistical inference for infinite-variance random functions
Copulae and tail dependence
Nonparametric tests for tail monotonicity
Confidence regions, non-parametric regression
On non-parametric fatigue optimization