Asset Details
Do you wish to reserve the book?
Semi-Parametric Models for the Multivariate Tail Dependence Function - the Asymptotically Dependent Case
Hey, we have placed the reservation for you!
By the way, why not check out events that you can attend while you pick your title.
Oops! Something went wrong.
Looks like we were not able to place the reservation. Kindly try again later.
Are you sure you want to remove the book from the shelf?
Semi-Parametric Models for the Multivariate Tail Dependence Function - the Asymptotically Dependent Case
Do you wish to request the book?
Semi-Parametric Models for the Multivariate Tail Dependence Function - the Asymptotically Dependent Case
Please be aware that the book you have requested cannot be checked out. If you would like to checkout this book, you can reserve another copy
We have requested the book for you!
Your request is successful and it will be processed during the Library working hours. Please check the status of your request in My Requests.
Oops! Something went wrong.
Looks like we were not able to place your request. Kindly try again later.
Journal Article
Semi-Parametric Models for the Multivariate Tail Dependence Function - the Asymptotically Dependent Case
2008
Overview
In general, the risk of joint extreme outcomes in financial markets can be expressed as a function of the tail dependence function of a high-dimensional vector after standardizing marginals. Hence, it is of importance to model and estimate tail dependence functions. Even for moderate dimension, non-parametrically estimating a tail dependence function is very inefficient and fitting a parametric model to tail dependence functions is not robust. In this paper, we propose a semi-parametric model for (asymptotically dependent) tail dependence functions via an elliptical copula. Under this model assumption, we propose a novel estimator for the tail dependence function, which proves favourable compared to the empirical tail dependence function estimator, both theoretically and empirically.
Publisher
Blackwell Publishing Ltd,Blackwell Publishing,Blackwell,Danish Society for Theoretical Statistics
