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Search: subject:"stable tail dependence function"
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stable tail dependence function
13
multivariate extreme values
9
Ausreißer
6
Estimation theory
6
Multivariate Verteilung
6
Multivariate distribution
6
Outliers
6
Schätztheorie
6
Statistical distribution
6
Statistische Verteilung
6
decomposition of tail dependence
6
subsample bootstrap
6
tail correlation
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Risikomaß
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Risk measure
4
decomposition of multivariate tail dependence
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extreme dependence modeling
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multivariate extremes
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Bootstrap approach
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Bootstrap-Verfahren
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Brown-resnick process
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Correlation
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Korrelation
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Multivariate Analyse
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Multivariate analysis
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Probability theory
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Stable tail dependence function
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Wahrscheinlichkeitsrechnung
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exceedances
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ranks
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spatial statistics
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Archimedean copula
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Brown-Resnick process
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Classical mean value
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Co-survival function
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Domain of attraction
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Fully d-increasing
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Bormann, Carsten
9
Schaumburg, Julia
9
Schienle, Melanie
9
Einmahl, John H. J.
2
Kiriliouk, Anna
2
Segers, Johan
2
Charpentier, A.
1
Drees, Holger
1
Einmahl, John
1
Fougères, A.-L.
1
Genest, C.
1
Huang, Xin
1
Kiriliouk, A.
1
Krajina, A.
1
Krajina, Andrea
1
Nešlehová, J.G.
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Ressel, Paul
1
Segers, J.
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Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
1
Tilburg University, Center for Economic Research
1
Tinbergen Instituut
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Journal of Multivariate Analysis
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Discussion paper / Center for Economic Research, Tilburg University
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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ECONIS (ZBW)
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RePEc
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EconStor
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1
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:
2
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
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/10011414706
Saved in:
4
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:
5
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:
6
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:
7
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
Saved in:
8
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:
9
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:
10
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:
1
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