Estimating the tail-dependence coefficient
Properties and pitfalls
Publication date
2005-07-22
Document type
Forschungsartikel
Author
Organisational unit
University of Cologne
Scopus ID
Publisher
Elsevier
Series or journal
Insurance: Mathematics and Economics
ISSN
Periodical volume
37
Periodical issue
1
First page
80
Last page
100
Part of the university bibliography
Nein
Language
English
Keyword
Copula
Estimation
Extreme value theory
Simulation
Tail dependence
Tail-dependence coefficient
Version
Published version
Access right on openHSU
Metadata only access