An M-Estimator for Tail Dependence in Arbitrary Dimensions

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

No 2011-013, Discussion Paper from Tilburg University, Center for Economic Research

Keywords: asymptotic statistics; factor model; M-estimation; multivariate extremes; tail dependence (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (7)

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Related works:
Working Paper: An M-estimator for tail dependence in arbitrary dimensions (2012)
Working Paper: An M-Estimator For Tail Dependence In Arbitrary Dimensions (2011)
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