Please use this identifier to cite or link to this item:
https://hdl.handle.net/10419/31120
Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Klüppelberg, Claudia | en |
dc.contributor.author | Kuhn, Gabriel | en |
dc.contributor.author | Peng, Liang | en |
dc.date.accessioned | 2006-04-25 | - |
dc.date.accessioned | 2010-05-14T10:14:18Z | - |
dc.date.available | 2010-05-14T10:14:18Z | - |
dc.date.issued | 2006 | - |
dc.identifier.pi | doi:10.5282/ubm/epub.1838 | en |
dc.identifier.pi | urn:nbn:de:bvb:19-epub-1838-9 | en |
dc.identifier.uri | http://hdl.handle.net/10419/31120 | - |
dc.description.abstract | Recently there has been an increasing interest in applying elliptical distributions to risk management. Under weak conditions, Hult and Lindskog (2002) showed that a random vector with an elliptical distribution is in the domain of attraction of a multivariate extreme value distribution. In this chapter we study two estimators for the tail dependence function, which are based on extreme value theory and the structure of an elliptical distribution, respectively. After deriving second order regular variation estimates and proving asymptotic normality for both estimators, we show that the estimator based on the structure of an elliptical distribution is better than that based on extreme value theory in terms of both asymptotic variance and optimal asymptotic mean squared error. Our theoretical results are confirmed by a simulation study. | en |
dc.language.iso | eng | en |
dc.publisher | |aLudwig-Maximilians-Universität München, Sonderforschungsbereich 386 - Statistische Analyse diskreter Strukturen |cMünchen | en |
dc.relation.ispartofseries | |aDiscussion Paper |x470 | en |
dc.subject.ddc | 519 | en |
dc.subject.keyword | asymptotic normality | en |
dc.subject.keyword | elliptical distribution | en |
dc.subject.keyword | regular variation | en |
dc.subject.keyword | tail copula | en |
dc.subject.keyword | tail dependence function | en |
dc.title | Estimating tail dependence of elliptical distributions | - |
dc.type | |aWorking Paper | en |
dc.identifier.ppn | 510829848 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
Files in This Item:
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.