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  • Search: subject:"stable tail dependence function"
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Year of publication
Subject
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stable tail dependence function 11 multivariate extreme values 8 decomposition of tail dependence 6 subsample bootstrap 6 tail correlation 6 Ausreißer 5 Estimation theory 5 Multivariate Verteilung 5 Multivariate distribution 5 Outliers 5 Schätztheorie 5 Statistical distribution 5 Statistische Verteilung 5 Risikomaß 3 Risk measure 3 multivariate extremes 3 Bootstrap approach 2 Bootstrap-Verfahren 2 Brown-resnick process 2 Correlation 2 Korrelation 2 Probability theory 2 Wahrscheinlichkeitsrechnung 2 decomposition of multivariate tail dependence 2 exceedances 2 extreme dependence modeling 2 ranks 2 spatial statistics 2 Brown-Resnick process 1 Multivariate Analyse 1 Multivariate analysis 1 Regional economics 1 Regionalökonomik 1 Time series analysis 1 Zeitreihenanalyse 1 extremal coefficient 1 max-linear model 1
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Online availability
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Free 11
Type of publication
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Book / Working Paper 11
Type of publication (narrower categories)
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Working Paper 8 Arbeitspapier 5 Graue Literatur 5 Non-commercial literature 5
Language
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English 8 Undetermined 3
Author
All
Bormann, Carsten 8 Schaumburg, Julia 8 Schienle, Melanie 8 Einmahl, John H. J. 2 Kiriliouk, Anna 2 Segers, Johan 2 Einmahl, John 1 Kiriliouk, A. 1 Krajina, A. 1 Krajina, Andrea 1 Segers, J. 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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Discussion paper / Center for Economic Research, Tilburg University 2 Discussion Paper / Tilburg University, Center for Economic Research 1 Discussion paper / Tinbergen Institute 1 KIT Working Paper Series in 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) 5 EconStor 3 RePEc 3
Showing 1 - 10 of 11
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/10011414987
Saved in:
Cover Image
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:
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
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:
Cover Image
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
Saved in:
Cover Image
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
Saved in:
Cover Image
An M-estimator of spatial tail dependence
Einmahl, John H. J.; Kiriliouk, Anna; Krajina, Andrea; … - 2014
Persistent link: https://www.econbiz.de/10010395535
Saved in:
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