A note on a non-parametric tail dependence estimator

Matthias J. Fischer and Marco Dörflinger

No 76/2006, Discussion Papers from Friedrich-Alexander University Erlangen-Nuremberg, Chair of Statistics and Econometrics

Abstract: We present a non-parametric tail dependence estimator which arises naturally from a specific regression model. Above that, this tail dependence estimator also results from a specific copula mixture.

Keywords: Upper tail dependence; nonparametric estimation; copula (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:zbw:faucse:762006

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