A note on a non-parametric tail dependence estimator
Year of publication: |
2006
|
---|---|
Authors: | Fischer, Matthias J. ; Dörflinger, Marco |
Institutions: | Wirtschafts- und Sozialwissenschaftliche Fakultät, Friedrich-Alexander-Universität Erlangen-Nürnberg |
Subject: | Upper tail dependence | nonparametric estimation | copula |
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