Some results on weak and strong tail dependence coefficients for means of copulas
Year of publication: |
2007
|
---|---|
Authors: | Fischer, Matthias J. ; Klein, Ingo |
Publisher: |
Nürnberg : Friedrich-Alexander-Universität Erlangen-Nürnburg, Lehrstuhl für Statistik und Ökonometrie |
Subject: | Kopula (Mathematik) | Extremwertanalyse | Maßzahl | Theorie | Tail Dependence | Extreme-value copulas | arithmetic and geometric mean |
Series: | Diskussionspapier ; 78/2007 |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 614058171 [GVK] hdl:10419/29623 [Handle] RePEc:zbw:faucse:782007 [RePEc] |
Source: |
-
Some results on weak and strong tail dependence coefficients for means of copulas
Fischer, Matthias J., (2007)
-
Efficient estimation of copula-based semiparametric Markov models
Chen, Xiaohong, (2009)
-
Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression
Allen, David E., (2013)
- More ...
-
Weighted power mean copulas: Theory and application
Klein, Ingo, (2011)
-
Kurtosis ordering of the generalized secant hyperbolic distribution: a technical note
Klein, Ingo, (2003)
-
Tukey-type distributions in the context of financial data
Fischer, Matthias J., (2003)
- More ...