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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
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

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