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  • Search: subject:"Tail dependence function"
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Year of publication
Subject
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stable tail dependence function 13 Multivariate Verteilung 9 Multivariate distribution 9 Statistical distribution 9 Statistische Verteilung 9 multivariate extreme values 9 Ausreißer 8 Outliers 8 Estimation theory 7 Schätztheorie 7 Risikomaß 6 Risk measure 6 decomposition of tail dependence 6 subsample bootstrap 6 tail correlation 6 decomposition of multivariate tail dependence 3 extreme dependence modeling 3 multivariate extremes 3 tail dependence function 3 Bootstrap approach 2 Bootstrap-Verfahren 2 Brown-resnick process 2 Copula 2 Correlation 2 Korrelation 2 Multivariate Analyse 2 Multivariate analysis 2 Probability theory 2 Stable tail dependence function 2 Theorie 2 Theory 2 Time series analysis 2 Wahrscheinlichkeitsrechnung 2 Zeitreihenanalyse 2 asymptotic normality 2 exceedances 2 ranks 2 spatial statistics 2 tail copula 2 ARCH model 1
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Online availability
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Free 12 Undetermined 8
Type of publication
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Book / Working Paper 12 Article 8
Type of publication (narrower categories)
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Working Paper 9 Arbeitspapier 5 Graue Literatur 5 Non-commercial literature 5 Article in journal 4 Aufsatz in Zeitschrift 4
Language
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English 13 Undetermined 7
Author
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Bormann, Carsten 9 Schaumburg, Julia 9 Schienle, Melanie 9 Einmahl, John H. J. 2 Kiriliouk, Anna 2 Segers, Johan 2 Chang, Meng-Shiuh 1 Charpentier, A. 1 Drees, Holger 1 Einmahl, John 1 Fougères, A.-L. 1 Genest, C. 1 Hofert, Marius 1 Huang, Xin 1 Kato, Shogo 1 Kiriliouk, A. 1 Klüppelberg, Claudia 1 Koike, Takaaki 1 Krajina, A. 1 Krajina, Andrea 1 Kuhn, Gabriel 1 Li, Lujun 1 Nešlehová, J.G. 1 Peng, Liang 1 Ressel, Paul 1 Segers, J. 1 Sun, Liulei 1 Weng, Chengguo 1 Xie, Jiehua 1 Xu, Jing 1 Yang, Jingping 1 Yuan, Jing 1 Zhang, Yi 1 Zhu, Wenhao 1
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Institution
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Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 1 Tilburg University, Center for Economic Research 1 Tinbergen Instituut 1
Published in...
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Journal of Multivariate Analysis 4 Discussion paper / Center for Economic Research, Tilburg University 2 ASTIN bulletin : the journal of the International Actuarial Association 1 Discussion Paper 1 Discussion Paper / Tilburg University, Center for Economic Research 1 Discussion paper / Tinbergen Institute 1 Journal of financial econometrics : official journal of the Society for Financial Econometrics 1 Journal of risk 1 KIT Working Paper Series in Economics 1 Mathematical finance : an international journal of mathematics, statistics and financial economics 1 SFB 649 Discussion Paper 1 SFB 649 Discussion Papers 1 SFB 649 discussion paper 1 Tinbergen Institute Discussion Paper 1 Tinbergen Institute Discussion Papers 1 Working paper series in economics 1
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Source
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ECONIS (ZBW) 9 RePEc 7 EconStor 4
Showing 1 - 10 of 20
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Asymptotic subadditivity/superadditivity of Value-at-Risk under tail dependence
Zhu, Wenhao; Li, Lujun; Yang, Jingping; Xie, Jiehua; … - In: Mathematical finance : an international journal of … 33 (2023) 4, pp. 1314-1369
Persistent link: https://www.econbiz.de/10014370668
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Measuring non-exchangeable tail dependence using tail copulas
Koike, Takaaki; Kato, Shogo; Hofert, Marius - In: ASTIN bulletin : the journal of the International … 53 (2023) 2, pp. 466-487
Persistent link: https://www.econbiz.de/10014320337
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Beyond dimension two: A test for higher-order tail risk
Bormann, Carsten; Schaumburg, Julia; Schienle, Melanie - 2016
based on a decomposition of the stable tail dependence function describing multivariate tail dependence. The asymptotic …
Persistent link: https://www.econbiz.de/10011414987
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A continuous updating weighted least squares estimator of tail dependence in high dimensions
Einmahl, John H. J.; Kiriliouk, Anna; Segers, Johan - 2016
Persistent link: https://www.econbiz.de/10011427965
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Cover Image
Beyond dimension two : a test for higher-order tail risk
Bormann, Carsten; Schaumburg, Julia; Schienle, Melanie - 2016
based on a decomposition of the stable tail dependence function describing multivariate tail dependence. The asymptotic …
Persistent link: https://www.econbiz.de/10011414706
Saved in:
Cover Image
Could holding multiple safe havens improve diversification in a portfolio? : the extended skew-t vine copula approach
Chang, Meng-Shiuh; Yuan, Jing; Xu, Jing - In: Journal of risk 21 (2018/2019) 4, pp. 61-91
Persistent link: https://www.econbiz.de/10012059925
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A Test for the Portion of Bivariate Dependence in Multivariate 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/10010377208
Saved in:
Cover Image
Beyond dimension two: A test for higher-order tail risk
Bormann, Carsten; Schienle, Melanie; Schaumburg, Julia - 2014
. Our test statistic is based on a decomposition of the stable tail dependence function, which is standard in extreme value …
Persistent link: https://www.econbiz.de/10010427063
Saved in:
Cover Image
An M-estimator of Spatial Tail Dependence
Einmahl, John; Kiriliouk, A.; Krajina, A.; Segers, J. - Tilburg University, Center for Economic Research - 2014
Tail dependence models for distributions attracted to a max-stable law are tted using observations above a high threshold. To cope with spatial, high-dimensional data, a rankbased M-estimator is proposed relying on bivariate margins only. A data-driven weight matrix is used to minimize the...
Persistent link: https://www.econbiz.de/10011090591
Saved in:
Cover Image
Beyond dimension two: A test for higher-order tail risk
Bormann, Carsten; Schienle, Melanie; Schaumburg, Julia - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2014
. Our test statistic is based on a decomposition of the stable tail dependence function, which is standard in extreme value …
Persistent link: https://www.econbiz.de/10010895351
Saved in:
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