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Tails of correlation mixtures of elliptical copulas
Manner, Hans; Segers, Johan - In: Insurance / Mathematics & economics 48 (2011) 1, pp. 153-160
Persistent link: https://www.econbiz.de/10008839743
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Testing for asymmetric dependence
Manner, Hans - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 14 (2010) 2, pp. 1-30
Persistent link: https://www.econbiz.de/10009514125
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Estimation and model selection of copulas with an application to exchange rates
Manner, Hans - 2007
Persistent link: https://www.econbiz.de/10003647709
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Testing for asymmetric dependence
Manner, Hans - 2008
Persistent link: https://www.econbiz.de/10003921284
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Edgeworth expansions for the distribution function of the hill estimator
Cuntz, Anke (contributor); Haeusler, Erich (contributor);  … - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001773646
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Functionals of clusters of extremes
Segers, Johan (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001773833
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Approximate distributions of clusters of extremes
Segers, Johan (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001830079
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Mandelbrot's extremism
Beirlant, Jan (contributor); Schoutens, Wim (contributor);  … - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002513161
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Non-parametric inference for bivariate extreme-value copulas
Segers, Johan (contributor) - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002453243
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A Method of Moments Estimator of Tail Dependence
Einmahl, John H. J.; Krajina, Andrea; Segers, Johan - 2007
In the world of multivariate extremes, estimation of the dependence structure still presents a challenge and an interesting problem. A procedure for the bivariate case is presented that opens the road to a similar way of handling the problem in a truly multivariate setting. We consider a...
Persistent link: https://www.econbiz.de/10014223096