Search Results - subject:"Tail dependence function"

A Test for the Portion of Bivariate Dependence in Multivariate Tail Risk

Bormann, Carsten; Schienle, Melanie; Schaumburg, Julia - Tinbergen Instituut - 2014

than two. Our test statistic is based on a decomposition of the stable tail dependence function, which is standard in …

Persistent link: https://www.econbiz.de/10011255546

A test for the portion of bivariate dependence in multivariate tail risk

Bormann, Carsten; Schienle, Melanie; Schaumburg, Julia - 2014

the stable tail dependence function, which is standard in extreme value theory for describing multivariate tail dependence …

Persistent link: https://www.econbiz.de/10010246746

An M-estimator of spatial tail dependence

Einmahl, John H. J.; Kiriliouk, Anna; Krajina, Andrea; … - 2014

Persistent link: https://www.econbiz.de/10010395535

Beyond dimension two : a test for higher-order tail risk

Bormann, Carsten; Schienle, Melanie; Schaumburg, Julia - 2014

than two. Our test statistic is based on a decomposition of the stable tail dependence function, which is standard in …

Persistent link: https://www.econbiz.de/10010402973

Beyond dimension two : a test for higher-order tail risk

Bormann, Carsten; Schaumburg, Julia; Schienle, Melanie - In: Journal of financial econometrics : official journal of … 14 (2016) 3, pp. 552-580

Persistent link: https://www.econbiz.de/10011623690

Multivariate Archimax copulas

Charpentier, A.; Fougères, A.-L.; Genest, C.; … - In: Journal of Multivariate Analysis 126 (2014) C, pp. 118-136

A multivariate extension of the bivariate class of Archimax copulas was recently proposed by Mesiar and Jágr (2013), who asked under which conditions it holds. This paper answers their question and provides a stochastic representation of multivariate Archimax copulas. A few basic properties of...

Persistent link: https://www.econbiz.de/10011041963

Estimating tail dependence of elliptical distributions

Klüppelberg, Claudia; Kuhn, Gabriel; Peng, Liang - 2006

of a multivariate extreme value distribution. In this chapter we study two estimators for the tail dependence function …

Persistent link: https://www.econbiz.de/10010266221

Homogeneous distributions—And a spectral representation of classical mean values and stable tail dependence functions

Ressel, Paul - In: Journal of Multivariate Analysis 117 (2013) C, pp. 246-256

Homogeneous distributions on R+d and on R¯+d∖︀{∞¯d} are shown to be Bauer simplices when normalized. This is used to provide spectral representations for the classical power mean values Mt(x) which turn out to be unique mixtures of the functions x⟼mini≤d(aixi) for t≤1 (with some...

Persistent link: https://www.econbiz.de/10011041967

Characterization of multivariate heavy-tailed distribution families via copula

Weng, Chengguo; Zhang, Yi - In: Journal of Multivariate Analysis 106 (2012) C, pp. 178-186

-tailed phenomena. This paper characterizes the MRV distributions through the tail dependence function of the copula associated with … them. Along with some existing results, our studies indicate that the existence of the lower tail dependence function of …

Persistent link: https://www.econbiz.de/10010572304

Best Attainable Rates of Convergence for Estimators of the Stable Tail Dependence Function

Drees, Holger; Huang, Xin - In: Journal of Multivariate Analysis 64 (1998) 1, pp. 25-47

and the dependence function converges to the stable tail dependence function of G. Hall and Welsh (1984,Ann. Statist.12 … the stable tail dependence function. First an upper bound on the rate of convergence for estimators of the stable tail … dependence function is established. Then it is shown that this bound is sharp by proving that it is attained by the tail …

Persistent link: https://www.econbiz.de/10005199854