OpenAlex | Asymptotic behavior of an intrinsic rank-based estimator of the Pickands dependence function constructed from B-splines

Asymptotic behavior of an intrinsic rank-based estimator of the Pickands dependence function constructed from B-splines

Work

Year: 2022

Type: article

Abstract: A bivariate extreme-value copula is characterized by its Pickands dependence function, i.e., a convex function defined on the unit interval satisfying boundary conditions. This paper investigates the ... more

Source: Extremes

Authors Axel Bücher, Christian Genest, Richard Lockhart, Johanna Nešlehová

Institutions Heinrich Heine University Düsseldorf, McGill University, Simon Fraser University

Cites: 32

Cited by: 1

Related to: 10

FWCI: 0.265

Citation percentile (by year/subfield): 45.39

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: hybrid

APC paid (est): $2,890

Funders Deutsche Forschungsgemeinschaft, Canada Research Chairs, Natural Sciences and Engineering Research Council of Canada

Grant IDS SFB823, 950-231937, 2014-06099