A Euclidean Likelihood Estimator for Bivariate Tail Dependence
Work
Year: 2013
Type: article
Abstract: The spectral measure plays a key role in the statistical modeling of multivariate extremes. Estimation of the spectral measure is a complex issue, given the need to obey a certain moment condition. We... more
Institutions Pontificia Universidad Católica de Chile, Universidade Nova de Lisboa, École Polytechnique Fédérale de Lausanne, UCLouvain
Cites: 29
Cited by: 22
Related to: 10
FWCI: 2.634
Citation percentile (by year/subfield): 90.24
Subfield: Finance
Domain: Social Sciences
Open Access status: green