Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/29588
Authors: 
Fischer, Matthias J.
Dörflinger, Marco
Year of Publication: 
2006
Series/Report no.: 
Diskussionspapiere // Friedrich-Alexander-Universität Erlangen-Nürnberg, Lehrstuhl für Statistik und Ökonometrie 76/2006
Abstract: 
We present a non-parametric tail dependence estimator which arises naturally from a specific regression model. Above that, this tail dependence estimator also results from a specific copula mixture.
Subjects: 
Upper tail dependence
nonparametric estimation
copula
Document Type: 
Working Paper

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