Empirical estimation of tail dependence using copulas: application to Asian markets

DOI10.1080/14697680500147853zbMath1081.62031OpenAlexW2026006993MaRDI QIDQ3375391

Dominique Guégan, Cyril Caillault

Publication date: 8 March 2006

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://halshs.archives-ouvertes.fr/halshs-00180865/file/Guegan-Caillault_QF2005.pdf

zbMATH Keywords

diagnostics

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistics of extreme values; tail inference (62G32) Nonparametric statistical resampling methods (62G09)

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Cites Work

• On the theory of elliptically contoured distributions
• Multivariate survival distributions
• Copules archimédiennes et families de lois bidimensionnelles dont les marges sont données
• Statistics for near independence in multivariate extreme values
• Inferences on the Association Parameter in Copula Models for Bivariate Survival Data
• An adaptive algorithm for the approximate calculation of multiple integrals
• Algorithm 698: DCUHRE
• Concomitant tail behaviour for extremes
• A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
• Understanding Relationships Using Copulas
• Dependence measures for extreme value analyses
• A directory of coefficients of tail dependence
• A new look at the statistical model identification

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