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ArticleNonparametric rank-based tests of bivariate extreme-value dependence

Ivan Kojadinovic A2010

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Articlebronze2010

Nonparametric rank-based tests of bivariate extreme-value dependence

Ivan Kojadinovic A · Jun Yan

38 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

1999An Introduction to Copulas 1990The Asymptotic Theory of Extreme Order Statistics 1998Understanding Relationships Using Copulas 2011Quantitative Risk Management 2006An Introduction to Copulas (Springer Series in Statistics)1988Bivariate Extreme Value Theory: Models and Estimation 2014Extremes in Nature: An Approach Using Copulas 2004Weak convergence of empirical copula processes

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2010Weak convergence of empirical copula processes under nonrestrictive smoothness assumptions

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2011Large-sample tests of extreme-value dependence for multivariate copulasarticle · 18 shared references 2013An Overview of the Goodness-of-Fit Test Problem for Copulaschapter · 11 shared references 2011Tests of symmetry for bivariate copulasarticle · 8 shared references 2011A goodness-of-fit test for bivariate extreme-value copulasarticle · 8 shared references 2010New estimators of the Pickands dependence function and a test for extreme-value dependencereport · 8 shared references 2014Copulas and Copula Modelsother · 8 shared references

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Year2010

Typearticle

Published2010-06-02

VenueJournal of Multivariate Analysis

ISSN-L0047-259X

Languageen

Citations38

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jmva.2010.05.004

openalex_workW2091111644

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