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Non-parametric estimators of multivariate extreme dependence functions

✍ Scribed by Abdous, Belkacem; Ghoudi, Kilani

Book ID
120197175
Publisher
Taylor and Francis Group
Year
2005
Tongue
English
Weight
247 KB
Volume
17
Category
Article
ISSN
1048-5252

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Non-parametric Estimation of Tail Depend
Non-parametric Estimation of Tail Dependence
✍ RAFAEL SCHMIDT; ULRICH STADTMÜLLER πŸ“‚ Article πŸ“… 2006 πŸ› John Wiley and Sons 🌐 English βš– 556 KB

**Abstract.** Dependencies between extreme events (extremal dependencies) are attracting an increasing attention in modern risk management. In practice, the concept of tail dependence represents the current standard to describe the amount of extremal dependence. In theory, multi‐variate extreme‐valu