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1616 p st. nw washington, dc 20036 202-328-5000 www.rff.org september 2009; revised november 2009 rff dp 09-36-rev the unholy trinity: fat tails, tail dependence, and micro-correlations…
minimum distance estimation of pickands dependence function for multivariate distributions betina berghaus, axel bücher, holger dette ruhr-universität bochum fakultät…
entropy and dependence estimation barnabás póczos department of computing science, university of alberta, canada eötvös loránd university neural information processing…
tail-dependence in stock-return pairs ines fortin, christoph kuzmics 126 reihe Ökonomie economics series 126 reihe Ökonomie economics series tail-dependence in stock-return…
dynamic asymmetric tail dependence in asian developed futures markets qing xu† xiaoming li abdullah mamun department of commerce, massey university at albany, auckland,…
journal of geophysical research, vol. 102, no. d12, pages 13,473-13,486, june 27, 1997 estimation of the cyclostationary dependence in geophysical data fields m. j. ortizbevig…
alfonso flores-lagunes† kurt erik schnier† december 2004 abstract we consider the estimation of sample selection (type ii tobit) models that exhibit spatial
statistical estimation for capm with long-memory dependencetomoyuki amano,1 tsuyoshi kato,2 and masanobu taniguchi2 1 faculty of economics, wakayama university, wakayama
david trudel and ispartners ag dr rainer rueppel abstract this thesis assesses the tail dependence of hedge funds applying various linear and nonlinear methods of tail dependence
function department of mathematics and computer science, university of southern denmark yuri goegebeur department of mathematics and computer science, university of southern
finance: approaches to extreme value mixture modeling yujuan qiu a thesis submitted to johns hopkins university in conformity with the requirements for the degree of master
unbiased tail estimation by an extension of the general pareto distribution jan beirlant elisabeth joossens and johan segers institute for the protection and security of…
tail estimation of the spectral density for a stationary gaussian random field wei-ying wua, chae young limb,1, yimin xiaoc,2 a institute of statistical science, academia
tail estimation for false positives in high-throughput testing holger rootzén dmitrii zholud gmmc stochastic centre chalmers gothenburg university wwwmathchalmersse~rootzen…
outline the problem the estimator asymptotic properties a simulation study conclusion and forthcoming studies estimation of the conditional tail index in presence of random…
multivariate extremal density expansions and residual tail dependence structuresresidual tail dependence structures der naturwissenschaften vorgelegt von eingereicht beim
ar x iv :0 71 0. 20 39 v2 [ m at h. st ] 1 4 n ov 2 00 8 bernoulli 14(4), 2008, 1003–1026 doi: 10.3150/08-bej130 a method of moments estimator of tail dependence john h.j.…
introduction multivariate conditional-tail-expectation estimation simulation study rainfall real data perspectives appendix estimation of the multivariate conditional-tail-expectation…
tse‐566 “estimation of tail risk based on extreme expectiles” abdelaati daouia stéphane girard and gilles stuper may 2016 estimation of tail risk based on extreme…
volume 7/issue 1 casualty actuarial society 61 estimation of tail development factors in the paid-incurred chain reserving method by michael merz and mario v. wüthrich abstract…