A moving window approach for nonparametric estimation of the conditional tail index
نویسندگان
چکیده
منابع مشابه
Nonparametric estimation of the conditional tail copula
The tail copula is widely used to describe the dependence in the tail of multivariate distributions. In some situations such as risk management, the dependence structure may be linked with some covariate. The tail copula thus depends on this covariate and is referred to as the conditional tail copula. The aim of this paper is to propose a nonparametric estimator of the conditional tail copula a...
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ژورنال
عنوان ژورنال: Journal of Multivariate Analysis
سال: 2008
ISSN: 0047-259X
DOI: 10.1016/j.jmva.2008.02.023