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A comparison of tail dependence estimators - MaRDI portal

A comparison of tail dependence estimators (Q2178099)

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A comparison of tail dependence estimators
scientific article

    Statements

    title
    A comparison of tail dependence estimators (English)
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    author
    Hendrik Supper
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    Felix Irresberger
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    Gregor N. F. Weiß
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    publication date
    7 May 2020
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    zbMATH Keywords
    tail dependence
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    copulas
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    simulation
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    asset pricing
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    cites work
    Q4139463
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    Q4382161
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    Q5706744
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    Q3336431
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    Q3281461
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    Identifiers

    Mathematics Subject Classification ID
    62P05
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    62H05
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    91G30
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    zbMATH DE Number
    7197924
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    OpenAlex ID
    W2999691811
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    Wikidata QID
    Q126379137
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