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A Method of Moments Estimator of Tail Dependence in Elliptical Copula Models

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Andrea Krajina

https://doi.org/10.2139/ssrn.1411044 Actions

A method of moments estimator of tail dependence

JOURNAL ARTICLE published 1 November 2008 in Bernoulli

Authors: John H.J. Einmahl | Andrea Krajina | Johan Segers

https://doi.org/10.3150/08-bej130 Actions

A Method of Moments Estimator of Tail Dependence

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: John H. J. Einmahl | Andrea Krajina | Johan Segers

https://doi.org/10.2139/ssrn.1025397 Actions

An M-Estimator of Spatial Tail Dependence

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: John H. J. Einmahl | Anna Kiriliouk | Andrea Krajina | Johan Segers

https://doi.org/10.2139/ssrn.2405848 Actions

An M-Estimator for Tail Dependence in Arbitrary Dimensions

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: John H. J. Einmahl | Andrea Krajina | Johan Segers

https://doi.org/10.2139/ssrn.1760022 Actions

An M-estimator for tail dependence in arbitrary dimensions

JOURNAL ARTICLE published 1 June 2012 in The Annals of Statistics

Authors: John H. J. Einmahl | Andrea Krajina | Johan Segers

https://doi.org/10.1214/12-aos1023 Actions

A method of moments estimator of tail dependence in meta-elliptical models

JOURNAL ARTICLE published July 2012 in Journal of Statistical Planning and Inference

Authors: Andrea Krajina

https://doi.org/10.1016/j.jspi.2012.01.020 Actions

An M-Estimator of Spatial Tail Dependence

JOURNAL ARTICLE published 1 January 2016 in Journal of the Royal Statistical Society Series B: Statistical Methodology

Research funded by Belgian Government (P7/06)

Authors: John H. J. Einmahl | Anna Kiriliouk | Andrea Krajina | Johan Segers

https://doi.org/10.1111/rssb.12114 Actions

Tail dependence functions and vine copulas

JOURNAL ARTICLE published January 2010 in Journal of Multivariate Analysis

Authors: Harry Joe | Haijun Li | Aristidis K. Nikoloulopoulos

https://doi.org/10.1016/j.jmva.2009.08.002 Actions

Tail order and intermediate tail dependence of multivariate copulas

JOURNAL ARTICLE published November 2011 in Journal of Multivariate Analysis

Authors: Lei Hua | Harry Joe

https://doi.org/10.1016/j.jmva.2011.05.011 Actions

Nonparametric estimation of multivariate tail probabilities and tail dependence coefficients

JOURNAL ARTICLE published July 2019 in Journal of Multivariate Analysis

Research funded by NSERC, Canada (8698)

Authors: Pavel Krupskii | Harry Joe

https://doi.org/10.1016/j.jmva.2019.02.013 Actions

Strength of tail dependence based on conditional tail expectation

JOURNAL ARTICLE published January 2014 in Journal of Multivariate Analysis

Authors: Lei Hua | Harry Joe

https://doi.org/10.1016/j.jmva.2013.09.001 Actions

Multivariate directional tail-weighted dependence measures

JOURNAL ARTICLE published April 2024 in Journal of Multivariate Analysis

Research funded by NSERC (GR010293)

Authors: Xiaoting Li | Harry Joe

https://doi.org/10.1016/j.jmva.2024.105319 Actions

Copulas, stable tail dependence functions, and multivariate monotonicity

JOURNAL ARTICLE published 1 January 2019 in Dependence Modeling

Authors: Paul Ressel

https://doi.org/10.1515/demo-2019-0013 Actions

Multivariate tail dependence and local stochastic dominance

JOURNAL ARTICLE published May 2024 in Journal of Multivariate Analysis

Authors: Karl Friedrich Siburg | Christopher Strothmann

https://doi.org/10.1016/j.jmva.2023.105267 Actions

Orthant tail dependence of multivariate extreme value distributions

JOURNAL ARTICLE published January 2009 in Journal of Multivariate Analysis

Authors: Haijun Li

https://doi.org/10.1016/j.jmva.2008.04.007 Actions

Nico Schreurs/Huub van de Sandt (eds.), De ene Jezus en De vele culturen. Christologie en contextualiteit. TFT-Studies 20, Tilburg: Tilburg University Press 1992, 130pp. ISBN 9036196744. f29,50. To be ordered at: Tilburg University Press, P.O. Box 90153, 5000 LE Tilburg. The Netherlands.

JOURNAL ARTICLE published 1993 in Exchange

https://doi.org/10.1163/157254393x00155 Actions

Conditional quantiles and tail dependence

JOURNAL ARTICLE published June 2015 in Journal of Multivariate Analysis

Research funded by NSERC (328250) | Alexander von Humboldt Research Foundation (1147294)

Authors: Carole Bernard | Claudia Czado

https://doi.org/10.1016/j.jmva.2015.01.011 Actions

Tail dependence between order statistics

JOURNAL ARTICLE published February 2012 in Journal of Multivariate Analysis

Authors: Helena Ferreira | Marta Ferreira

https://doi.org/10.1016/j.jmva.2011.09.001 Actions

Bootstrap approximation of tail dependence function

JOURNAL ARTICLE published September 2008 in Journal of Multivariate Analysis

Authors: Liang Peng | Yongcheng Qi

https://doi.org/10.1016/j.jmva.2008.01.018 Actions
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