A Method of Moments Estimator of Tail Dependence

John Einmahl, Andrea Krajina () and J.J.J. Segers
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J.J.J. Segers: Tilburg University, Center for Economic Research

No 2007-80, Discussion Paper from Tilburg University, Center for Economic Research

Abstract: AMS 2000 subject classifications: 60G70, 62H12, 62H15, 62F05, 62F12, 62F25.

JEL-codes: C12 C13 C14 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm
Date: 2007
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