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Parametric tail copula estimation and model testing · Study

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ArticleParametric tail copula estimation and model testing

Laurens de Haan2007

OA

Articlebronze2007

Parametric tail copula estimation and model testing

Laurens de Haan · Cláudia Neves · Liang Peng

37 citations·0/0 files stored·Journal of Multivariate Analysis

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Financial Risk and Volatility Modeling Statistical Distribution Estimation and Applications Probability and Risk Models

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References

2006Extreme value theory : an introduction 1995A Semiparametric Estimation Procedure of Dependence Parameters in Multivariate Families of Distributions 1996Statistics for near independence in multivariate extreme values 1988Bivariate Extreme Value Theory: Models and Estimation 1991Modelling Extreme Multivariate Events 2007Extreme Value Theory: An Introduction 1997Modelling Dependence within Joint Tail Regions 1998Multivariate Models and Dependence Concepts

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Details

Year2007

Typearticle

Published2007-08-23

VenueJournal of Multivariate Analysis

ISSN-L0047-259X

Languageen

Citations37

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jmva.2007.08.003

openalex_workW2052052930

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