A Continuous Updating Weighted Least Squares Estimator of Tail Dependence in High Dimensions

John Einmahl, A. Kiriliouk and J.J.J. Segers
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J.J.J. Segers: Tilburg University, School of Economics and Management

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Date: 2016
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Related works:
Working Paper: A continuous updating weighted least squares estimator of tail dependence in high dimensions (2018)
Working Paper: A continuous updating weighted least squares estimator of tail dependence in high dimensions (2016)
Working Paper: A Continuous Updating Weighted Least Squares Estimator of Tail Dependence in High Dimensions (2016)
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