Tail-weighted dependence measures with limit being the tail dependence coefficient

JOURNAL ARTICLE published 3 April 2018 in Journal of Nonparametric Statistics

Research funded by NSERC (8698)

Authors: David Lee | Harry Joe | Pavel Krupskii

Estimating the extremal index through the tail dependence concept

JOURNAL ARTICLE published 2015 in Discussiones Mathematicae Probability and Statistics

Authors: Marta Ferreira

On the extremal dependence coefficient of multivariate distributions

JOURNAL ARTICLE published August 2006 in Statistics & Probability Letters

Authors: Gabriel Frahm

GARCH with generalized Pareto tail

JOURNAL ARTICLE published 1 January 2021 in Open Statistics

Authors: Hiroyuki Kawakatsu

Estimation of the coefficient of tail dependence in bivariate extremes

JOURNAL ARTICLE published July 1999 in Statistics & Probability Letters

Authors: L. Peng

Estimating the coefficient of asymptotic tail independence

JOURNAL ARTICLE published 1 July 2016 in Advances in Methodology and Statistics

Authors: Marta Ferreira

Estimating scale-invariant directed dependence of bivariate distributions

JOURNAL ARTICLE published January 2021 in Computational Statistics & Data Analysis

Research funded by Austrian Science Fund (20102-F1901166-KZP,20204-WISS/225/197-2019)

Authors: Robert R. Junker | Florian Griessenberger | Wolfgang Trutschnig

Asymptotically Unbiased Estimation of the Coefficient of Tail Dependence

JOURNAL ARTICLE published March 2013 in Scandinavian Journal of Statistics

Authors: YURI GOEGEBEUR | ARMELLE GUILLOU

Estimating Dependence Among Lumber Strength Properties With Copula Models

JOURNAL ARTICLE published 15 February 2021 in Frontiers in Applied Mathematics and Statistics

Authors: Yanling Cai | Harry Joe | Shenyi Pan

Non‐parametric Estimation of Tail Dependence

JOURNAL ARTICLE published June 2006 in Scandinavian Journal of Statistics

Authors: RAFAEL SCHMIDT | ULRICH STADTMÜLLER

Tail dependence for two skew distributions

JOURNAL ARTICLE published May 2010 in Statistics & Probability Letters

Authors: Thomas Fung | Eugene Seneta

Asymmetry in tail dependence in equity portfolios

JOURNAL ARTICLE published August 2016 in Computational Statistics & Data Analysis

Authors: Eric Jondeau

Examples for the coefficient of tail dependence and the domain of attraction of a bivariate extreme value distribution

JOURNAL ARTICLE published June 2001 in Statistics & Probability Letters

Authors: Martin Schlather

Rate of Decay of the Tail Dependence Coefficient for the Skew t Distribution

JOURNAL ARTICLE published 2 December 2012 in Sri Lankan Journal of Applied Statistics

Authors: Thomas Fung

On the generation of a multivariate extreme value distribution with prescribed tail dependence parameter matrix

JOURNAL ARTICLE published December 2005 in Statistics & Probability Letters

Authors: Michael Falk

Tail Maximal Dependence in Bivariate Models: Estimation and Applications

JOURNAL ARTICLE published December 2022 in Mathematical Methods of Statistics

Authors: Ning Sun | Chen Yang | Ričardas Zitikis

Estimating Extreme Quantiles of Weibull Tail Distributions

JOURNAL ARTICLE published May 2005 in Communications in Statistics - Theory and Methods

Authors: Laurent Gardes | Stéphane Girard

Nonparametric estimation of the lower tail dependence λ_Lin bivariate copulas

JOURNAL ARTICLE published June 2005 in Journal of Applied Statistics

Authors: Jadran Dobrić | Friedrich Schmid

Estimating multivariate extremal dependence: a new proposal

JOURNAL ARTICLE published 7 February 2017 in Theory of Probability and Mathematical Statistics

Authors: M. Ferreira

Monotone tail and moment ratio properties of Student’s family of distributions

JOURNAL ARTICLE published January 2015 in Mathematical Methods of Statistics

Authors: I. Pinelis