Please use this identifier to cite or link to this item: http://hdl.handle.net/1822/51284

TitleEstimating the extremal coefficient: a comparison of methods
Author(s)Ferreira, Marta Susana
Issue date2017
Abstract(s)t Tail dependence is an important issue to evaluate risk. The multivariate extreme values theory is the most suitable to deal with the extremal dependence. The extremal coefficient measures the degree of dependence between the marginals of max-stable distributions, a natural class of models in this framework. The estimation of the extremal coefficient is addressed and a new estimator is compared through simulation with existing methods. An illustration with real data is presented.
TypePanel presentation
URIhttp://hdl.handle.net/1822/51284
Peer-Reviewedyes
AccessRestricted access (Author)
Appears in Collections:CMAT - Artigos em atas de conferências e capítulos de livros com arbitragem / Papers in proceedings of conferences and book chapters with peer review

Files in This Item:
File Description SizeFormat 
FerreiraSpingerPaperWSMC10_rev.pdf
  Restricted access
153,69 kBAdobe PDFView/Open    Request a copy!

Partilhe no FacebookPartilhe no TwitterPartilhe no DeliciousPartilhe no LinkedInPartilhe no DiggAdicionar ao Google BookmarksPartilhe no MySpacePartilhe no Orkut
Exporte no formato BibTex mendeley Exporte no formato Endnote Adicione ao seu ORCID