The simple econometrics of tail dependence

DOI10.1016/j.econlet.2012.04.016zbMath1253.91193OpenAlexW3125943661MaRDI QIDQ694905

Chen Zhou, Maarten R. C. Van Oordt

Publication date: 19 December 2012

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://www.dnb.nl/en/binaries/working%20paper%20296_tcm47-253009.pdf

zbMATH Keywords

regression analysisextreme value theorytail dependence

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Statistics of extreme values; tail inference (62G32)

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