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.
- Language
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Englisch
- Bibliographic citation
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Series: Diskussionspapier ; No. 76/2006
- Classification
-
Wirtschaft
- Subject
-
Upper tail dependence
nonparametric estimation
copula
- Event
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Geistige Schöpfung
- (who)
-
Fischer, Matthias J.
Dörflinger, Marco
- Event
-
Veröffentlichung
- (who)
-
Friedrich-Alexander-Universität Erlangen-Nürnburg, Lehrstuhl für Statistik und Ökonometrie
- (where)
-
Nürnberg
- (when)
-
2006
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Fischer, Matthias J.
- Dörflinger, Marco
- Friedrich-Alexander-Universität Erlangen-Nürnburg, Lehrstuhl für Statistik und Ökonometrie
Time of origin
- 2006
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