A Note on Tail Dependence Regression

descriptionPublicationkeyboard_double_arrow_right Article , Other literature type 01 Jan 2013 English Publisher:Elsevier BVJournal:SSRN Electronic Journal (eissn: 1556-5068,

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Authors: Qingzhao Zhang; Deyuan Li; Hansheng Wang 0002;

doi: 10.2139/ssrn.2271415 , 10.1016/j.jmva.2013.05.007

A Note on Tail Dependence Regression

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Abstract

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Related Organizations

Peking University
China (People's Republic of)
Chinese Academy of Sciences
China (People's Republic of)
Fudan University
China (People's Republic of)
Peking University
China (People's Republic of)
Academy of Mathematics and Systems Science
China (People's Republic of)

Keywords

Applications of statistics to actuarial sciences and financial mathematics, Generalized linear models (logistic models), tail dependence index, Statistics of extreme values; tail inference, Computational problems in statistics, approximate maximum likelihood estimation

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