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Search: subject:"dependence function"
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stable tail dependence function
13
Multivariate Verteilung
10
Multivariate distribution
10
Statistical distribution
10
Statistische Verteilung
10
multivariate extreme values
9
Ausreißer
8
Estimation theory
8
Outliers
8
Schätztheorie
8
dependence function
7
Risikomaß
6
Risk measure
6
decomposition of tail dependence
6
subsample bootstrap
6
tail correlation
6
Pickands dependence function
5
Bahadur efficiency
3
Copula
3
Dependence function
3
Kac empirical process
3
Risk management
3
Theorie
3
Theory
3
Time series analysis
3
Zeitreihenanalyse
3
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
Correlation
2
Kiefer-Müller process
2
Korrelation
2
Multivariate Analyse
2
Multivariate analysis
2
Probability theory
2
Stable tail dependence function
2
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Undetermined
20
Free
17
Type of publication
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Article
20
Book / Working Paper
18
Type of publication (narrower categories)
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Working Paper
12
Article in journal
6
Aufsatz in Zeitschrift
6
Arbeitspapier
5
Graue Literatur
5
Non-commercial literature
5
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English
20
Undetermined
18
Author
All
Bormann, Carsten
9
Schaumburg, Julia
9
Schienle, Melanie
9
Klüppelberg, Claudia
3
Kuhn, Gabriel
3
Einmahl, John H. J.
2
Hsing, Tailen
2
Kiriliouk, Anna
2
Segers, J.
2
Segers, Johan
2
Barakat, H.
1
Beghin, L.
1
Beghin, Luisa
1
Begin, L.
1
Chang, Meng-Shiuh
1
Charpentier, A.
1
Drees, Holger
1
Einmahl, John
1
Falk, Michael
1
Fils-Villetard, A.
1
Fougères, A.-L.
1
Fougères, Anne-Laure
1
Frick, Melanie
1
Genest, C.
1
Goegebeur, Yuri
1
Guillou, A.
1
Guillou, Armelle
1
Gupta, Ramesh
1
Held, Leonhard
1
Hofert, Marius
1
Huang, Xin
1
Kato, Shogo
1
Kiriliouk, A.
1
Koike, Takaaki
1
Kolev, Nikolai
1
Krajina, A.
1
Krajina, Andrea
1
Ledwina, Teresa
1
Li, Lujun
1
Mercadier, Cécile
1
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Institution
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Tilburg University, Center for Economic Research
2
Graduate School of Economics and Business Administration, Hokkaido University
1
International Centre for Economic Research (ICER)
1
Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
1
Tinbergen Instituut
1
Published in...
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Journal of Multivariate Analysis
7
Discussion Paper
4
Annals of the Institute of Statistical Mathematics
2
Discussion Paper / Tilburg University, Center for Economic Research
2
Discussion paper / Center for Economic Research, Tilburg University
2
Insurance / Mathematics & economics
2
ASTIN bulletin : the journal of the International Actuarial Association
1
Discussion paper / Tinbergen Institute
1
Discussion paper series. A
1
ICER Working Papers
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
Metrika
1
SFB 649 Discussion Paper
1
SFB 649 Discussion Papers
1
SFB 649 discussion paper
1
Statistical Inference for Stochastic Processes
1
Statistical Methods and Applications
1
Statistical Papers / Springer
1
Statistics & Probability Letters
1
Tinbergen Institute Discussion Paper
1
Tinbergen Institute Discussion Papers
1
Working paper series in economics
1
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RePEc
20
ECONIS (ZBW)
11
EconStor
7
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1
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
Saved in:
2
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
Saved in:
3
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
Saved in:
4
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
Saved in:
5
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:
6
Validation of association
Ćmiel, Bogdan
;
Ledwina, Teresa
- In:
Insurance / Mathematics & economics
91
(
2020
),
pp. 55-67
Persistent link: https://www.econbiz.de/10012241981
Saved in:
7
Robust estimation of the Pickands
dependence
function
under random right censoring
Goegebeur, Yuri
;
Guillou, Armelle
;
Qin, Jing
- In:
Insurance / Mathematics & economics
87
(
2019
),
pp. 101-114
Persistent link: https://www.econbiz.de/10012058926
Saved in:
8
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
Saved in:
9
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:
10
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:
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