Estimating the tail-dependence coefficient: Properties and pitfalls

Insurance: Mathematics and Economics

Volumn 37, Issue 1 SPEC. ISS., 2005, Pages 80-100

  Frahm, Gabriel ^a   Junker, Markus ^b   Schmidt, Rafael ^a,c  

^a UNIVERSITY OF COLOGNE   (Germany)

^b CENTER OF ADVANCED EUROPEAN STUDIES AND RESEARCH CAESAR   (Germany)

^c LONDON SCHOOL OF ECONOMICS   (United Kingdom)

Author keywords

Copula; Estimation; Extreme value theory; Simulation; Tail dependence; Tail dependence coefficient

Indexed keywords

EID: 23444460051     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.insmatheco.2005.05.008     Document Type: Article

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