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

Keywords: asymptotic properties; confidence regions; goodness-of-fit test; meta-elliptical distribution; method of moments; multivariate extremes; tail dependence. (search for similar items in EconPapers)
Date: 2007
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Related works:
Working Paper: A method of moments estimator of tail dependence (2008)
Working Paper: A Method of Moments Estimator of Tail Dependence (2007)
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