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Titel:

Semi-parametric models for the multivariate tail dependence function - the asymptotically dependent case

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Klüppelberg, C., Kuhn, G., Peng, L.
Abstract:
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, nonparametrically 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 (...     »
Stichworte:
Asymptotic normality, Dependence modeling, Elliptical copula, Elliptical distribution, Regular variation, Semi-parametric model, Tail dependence function
Zeitschriftentitel:
Scand. J. Stat.
Jahr:
2008
Band / Volume:
35
Heft / Issue:
4
Seitenangaben Beitrag:
701-718
Reviewed:
ja
Sprache:
en
Volltext / DOI:
doi:10.1111/j.1467-9469.2008.00602.x
Status:
Verlagsversion / published
Semester:
SS 08
Format:
Text
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