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
Publisher:	Nürnberg : Friedrich-Alexander-Universität Erlangen-Nürnburg, Lehrstuhl für Statistik und Ökonometrie
Subject:	Upper tail dependence \| nonparametric estimation \| copula

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Series:	Diskussionspapier ; 76/2006
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	614056446 [GVK] hdl:10419/29588 [Handle] RePEc:zbw:faucse:762006 [RePEc]
Source:	EconStor

Persistent link: https://www.econbiz.de/10010299786