Search Results - subject:"stable tail dependence function"

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

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

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