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~isPartOf:"Acta oeconomica : periodical of the Hungarian Academy of Sciences"
~isPartOf:"Discussion Paper / Tilburg University, Center for Economic Research"
~person:"Krajina, A."
~subject:"tail dependence"
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tail dependence
multivariate extremes
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Brown-resnick process
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M-estimation
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asymptotic properties
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confidence regions
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exceedances
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factor model
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Krajina, A.
Einmahl, John
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Acta oeconomica : periodical of the Hungarian Academy of Sciences
Discussion Paper / Tilburg University, Center for Economic Research
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An M-Estimator for Tail Dependence in Arbitrary Dimensions
Einmahl, John
;
Krajina, A.
;
Segers, J.
-
Tilburg University, Center for Economic Research
-
2011
Consider a random sample in the max-domain of attraction of a
multivariate
extreme value distribution such that the …
Persistent link: https://www.econbiz.de/10011090709
Saved in:
2
A Method of Moments Estimator of Tail Dependence
Einmahl, John
;
Krajina, A.
;
Segers, J.J.J.
-
Tilburg University, Center for Economic Research
-
2007
AMS 2000 subject classifications: 60G70, 62H12, 62H15, 62F05, 62F12, 62F25.
Persistent link: https://www.econbiz.de/10011091710
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