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

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Andrea Krajina

A Method of Moments Estimator of Tail Dependence

JOURNAL ARTICLE published in SSRN Electronic Journal

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

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

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

A Continuous Updating Weighted Least Squares Estimator of Tail Dependence in High Dimensions

JOURNAL ARTICLE published in SSRN Electronic Journal

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

VAR for VaR: Measuring Tail Dependence Using Multivariate Regression Quantiles

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Halbert L. White | Tae-Hwan Kim | Simone Manganelli

Asymmetry in Tail Dependence of Equity Portfolios

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Eric Jondeau

Reinvestigating the Uncovered Interest Rate Parity Puzzle Via Analysis of Multivariate Tail Dependence in Currency Carry Trades

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Matthew Ames | Guillaume Bagnarosa | Gareth William Peters

A New Copula for Modeling Tail Dependence

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Jeff Holman | Gordon Ritter

Copula-Based Orderings of Multivariate Dependence

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Koen Decancq

Extreme Dependence for Multivariate Data

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Damien Bosc | Alfred Galichon

Dynamic Correlation or Tail Dependence Hedging for Portfolio Selection

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Redouane Elkamhi | Denitsa Stefanova

A Multivariate Pure-Jump Model with Multi-Factorial Dependence Structure

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Roberto Marfè

Long Memory and Tail Dependence in Trading Volume and Volatility

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Eduardo Rossi | Paolo Santucci de Magistris

Estimating Tail Dependence and Testing for Contagion Using Tail Indices

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Carmela Quintos

Exponential Series Estimator of Multivariate Densities

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Ximing Wu

A Multivariate Hill Estimator

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Yves Dominicy | Pauliina Ilmonen | David Veredas

Multivariate Density Estimation Using Dimension Reducing Information and Tail Flattening Transformations for Truncated or Censored Data

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Tine Buch-Kromann | Jens Perch Nielsen

Multivariate Density Estimation Using Dimension Reducing Information and Tail Flattening Transformations

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Tine Buch-Kromann | Montserrat Guillén | Oliver B. Linton | Jens Perch Nielsen

Modelling Dependence in a Ratemaking Procedure with Multivariate Poisson Regression Models

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Lluís Bermúdez | Dimitris Karlis