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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
Cites: 32
Cited by: 1
Related to: 10
FWCI: 0.265
Citation percentile (by year/subfield): 45.39
Subfield: Finance
Open Access status: hybrid
APC paid (est): $2,890
Grant IDS SFB823, 950-231937, 2014-06099