A note on nonparametric estimation of bivariate tail dependence

Statistics and Risk Modeling

Volumn 31, Issue 2, 2014, Pages 151-162

  Bücher, Axel ^a,b  

^a RUHR UNIVERSITY BOCHUM   (Germany)

^b UNIVERSITÉ CATHOLIQUE DE LOUVAIN   (Belgium)

Author keywords

Asymptotic variance; Nonparametric estimation; Rank based inference; Tail copula; Tail dependence

Indexed keywords

EID: 84908410540     PISSN: 21931402     EISSN: 21967040     Source Type: Journal    
DOI: 10.1515/strm-2013-1143     Document Type: Article

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