The existence of data with different dependence structures motivates the development of models which can capture several types of dependence. In this paper we consider a stationary sequence of moving maxima vectors <InlineEquation ID="IEq1"> <EquationSource Format="TEX">$$\{{\mathbf {X}}_n=(X_{n1},\ldots ,X_{nd})\}_{n\ge 1}$$</EquationSource> <EquationSource Format="MATHML"> <math xmlns:xlink="http://www.w3.org/1999/xlink"> <msub> <mrow> <mo stretchy="false">{</mo> <msub> <mi mathvariant="bold">X</mi> <mi>n</mi> </msub> <mo>=</mo> <mrow> <mo stretchy="false">(</mo> <msub> <mi>X</mi> <mrow> <mi>n</mi>...</mn></mrow></msub></mrow></mrow></msub></math></equationsource></equationsource></inlineequation>

Consider a random sample in the max-domain of attraction of a multivariate extreme value distribution such that the dependence structure of the attractor belongs to a parametric model. A new estimator for the unknown parameter is defined as the value that minimises the distance between a vector...

AMS 2000 subject classifications: Primary 62G05, 62G30, 62G32; secondary 60G70, 60F05, 60F17, JEL: C13, C14.

AMS 2000 subject classifications: 60G70, 62H12, 62H15, 62F05, 62F12, 62F25.

This paper investigates the dynamic tail dependence risk between BRICS economies and the world energy market, in the context of the COVID-19 financial crisis of 2020, in order to determine optimal investment decisions based on risk metrics. For this purpose, we employ a combination of novel...

This paper investigates the dynamic tail dependence risk between BRICS economies and the world energy market, in the context of the COVID-19 financial crisis of 2020, in order to determine optimal investment decisions based on risk metrics. For this purpose, we employ a combination of novel...

We apply Bayesian Model Averaging and a frequentistic model space analysis to assess the pricing-determinants of credit default swaps (CDS). Our study focuses on the complete model space of plausible models covering most of the variables and specifications used elsewhere in the literature,...

We apply Bayesian Model Averaging and a frequentistic model space analysis to assess the pricing-determinants of credit default swaps (CDS). Our study focuses on the complete model space of plausible models covering most of the variables and specifications used elsewhere in the literature,...