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.

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Year of publication:	2006
Authors:	Fischer, Matthias J. ; Dörflinger, Marco
Institutions:	Wirtschafts- und Sozialwissenschaftliche Fakultät, Friedrich-Alexander-Universität Erlangen-Nürnberg
Subject:	Upper tail dependence \| nonparametric estimation \| copula

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Extent:	application/pdf
Series:	Discussion Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 76/2006
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008493544