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Journal of Applied Statistics Volume 32, 2005 - Issue 4
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Original Articles

Nonparametric estimation of the lower tail dependence λL in bivariate copulas

Jadran Dobrić Seminar of Economic and Social Statistics, University of Cologne, Germany
&
Friedrich Schmid Seminar of Economic and Social Statistics, University of Cologne, GermanyCorrespondence[email protected]
Pages 387-407 | Published online: 22 Jan 2007

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Emmanouil N. Karimalis & Nikos K. Nomikos. (2018) Measuring systemic risk in the European banking sector: a copula CoVaR approach. The European Journal of Finance 24:11, pages 944-975.
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David Lee, Harry Joe & Pavel Krupskii. (2018) Tail-weighted dependence measures with limit being the tail dependence coefficient. Journal of Nonparametric Statistics 30:2, pages 262-290.
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Pavel Krupskii & Harry Joe. (2015) Tail-weighted measures of dependence. Journal of Applied Statistics 42:3, pages 614-629.
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Yuri Salazar & Wing Lon Ng. (2013) Nonparametric Tail Copula Estimation: An Application to Stock and Volatility Index Returns. Communications in Statistics - Simulation and Computation 42:3, pages 613-635.
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Eric Bouyé & Mark Salmon. (2009) Dynamic copula quantile regressions and tail area dynamic dependence in Forex markets. The European Journal of Finance 15:7-8, pages 721-750.
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Articles from other publishers (36)

Dimitrios Panagiotou & Athanassios Stavrakoudis. (2022) Price dependence among the major EU extra virgin olive oil markets: a time scale analysis. Review of Agricultural, Food and Environmental Studies 104:1, pages 1-26.
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Giovanni De Luca, Dominique Guégan & Giorgia Rivieccio. (2019) Assessing tail risk for nonlinear dependence of MSCI sector indices: A copula three-stage approach. Finance Research Letters 30, pages 327-333.
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Pavel Krupskii & Harry Joe. (2019) Nonparametric estimation of multivariate tail probabilities and tail dependence coefficients. Journal of Multivariate Analysis 172, pages 147-161.
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Elie Bouri & Naji Jalkh. (2019) Conditional quantiles and tail dependence in the volatilities of gold and silver. International Economics 157, pages 117-133.
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Peter Grundke. (2018) Ranking consistency of systemic risk measures: a simulation-based analysis in a banking network model. Review of Quantitative Finance and Accounting 52:4, pages 953-990.
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Chen Yang, Wenjun Jiang, Jiang Wu, Xin Liu & Zhichuan Li. (2017) Clustering of financial instruments using jump tail dependence coefficient. Statistical Methods & Applications 27:3, pages 491-513.
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Feng Li & Yanfei Kang. (2018) Improving forecasting performance using covariate-dependent copula models. International Journal of Forecasting 34:3, pages 456-476.
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Jussi Klemelä. 2018. Nonparametric Finance. Nonparametric Finance 673 680 .
P. Wanke, C.P. Barros & A. Emrouznejad. (2018) A comparison between stochastic DEA and fuzzy DEA approaches: revisiting efficiency in Angolan banks. RAIRO - Operations Research 52:1, pages 285-303.
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Zhongfei Chen, Peter Wanke, Jorge Junio Moreira Antunes & Ning Zhang. (2017) Chinese airline efficiency under CO2 emissions and flight delays: A stochastic network DEA model. Energy Economics 68, pages 89-108.
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Panos Fousekis & Vasilis Grigoriadis. (2017) Price co-movement and the crack spread in the US futures markets. Journal of Commodity Markets 7, pages 57-71.
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Esther B. Del Brio, Andrés Mora-Valencia & Javier Perote. (2017) The kidnapping of Europe: High-order moments' transmission between developed and emerging markets. Emerging Markets Review 31, pages 96-115.
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Panos Fousekis, Christos Emmanouilides & Vasilis Grigoriadis. (2017) Price linkages in the international skim milk powder market: empirical evidence from nonparametric and time-varying copulas. Australian Journal of Agricultural and Resource Economics 61:1, pages 135-153.
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. 2017. Portfolio Diversification. Portfolio Diversification 231 260 .
Bernhard Pfaff. 2016. Financial Risk Modelling and Portfolio Optimization with R. Financial Risk Modelling and Portfolio Optimization with R 198 227 .
Panos Fousekis & Vasilis Grigoriadis. (2016) Joint price dynamics of quality differentiated commodities: copula evidence from coffee varieties. European Review of Agricultural Economics.
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Runrun Zhang, Xi Chen, Qinbo Cheng, Zhicai Zhang & Peng Shi. (2016) Joint probability of precipitation and reservoir storage for drought estimation in the headwater basin of the Huaihe River, China. Stochastic Environmental Research and Risk Assessment 30:6, pages 1641-1657.
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Panos Fousekis & Vasilis Grigoriadis. (2016) Spatial price dependence by time scale: Empirical evidence from the international butter markets. Economic Modelling 54, pages 195-204.
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Elena Di Bernardino & Didier Rullière. (2016) On tail dependence coefficients of transformed multivariate Archimedean copulas. Fuzzy Sets and Systems 284, pages 89-112.
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Yuri Salazar & Wing Lon Ng. (2014) Nonparametric estimation of general multivariate tail dependence and applications to financial time series. Statistical Methods & Applications 24:1, pages 121-158.
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Woohwan Kim. (2014) Dependence Structure of Korean Financial Markets Using Copula-GARCH Model. Communications for Statistical Applications and Methods 21:5, pages 445-459.
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Bernhard Pfaff. 2012. Financial Risk Modelling and Portfolio Optimization with R. Financial Risk Modelling and Portfolio Optimization with R 189 216 .
Aristidis K. Nikoloulopoulos, Harry Joe & Haijun Li. (2012) Vine copulas with asymmetric tail dependence and applications to financial return data. Computational Statistics & Data Analysis 56:11, pages 3659-3673.
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Shi De Ou. (2012) Simulation for Mixture of Archimedean Copulas. Applied Mechanics and Materials 195-196, pages 738-743.
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. 2012. Structured Finance. Structured Finance 45 74 .
Giorgia Rivieccio. 2012. Mathematical and Statistical Methods for Actuarial Sciences and Finance. Mathematical and Statistical Methods for Actuarial Sciences and Finance 367 374 .
Giovanni De Luca & Giorgia Rivieccio. 2012. Advanced Statistical Methods for the Analysis of Large Data-Sets. Advanced Statistical Methods for the Analysis of Large Data-Sets 287 296 .
Umberto Cherubini, Fabio Gobbi, Sabrina Mulinacci & Silvia Romagnoli. 2011. Dynamic Copula Methods in Finance. Dynamic Copula Methods in Finance 251 257 .
Chong-Sun Hong & Won-Yong Lee. (2011) VaR Estimation with Multiple Copula Functions. Korean Journal of Applied Statistics 24:5, pages 809-820.
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Shide Ou. (2011) Analysis of dependence for stocks using tail dependence coefficient. Analysis of dependence for stocks using tail dependence coefficient.
Shide Ou & Danhui Yi. (2010) Comparison of Estimators of Tail Dependence Coefficient. Comparison of Estimators of Tail Dependence Coefficient.
Friedrich Schmid, Rafael Schmidt, Thomas Blumentritt, Sandra Gaißer & Martin Ruppert. 2010. Copula Theory and Its Applications. Copula Theory and Its Applications 209 236 .
Aristidis K. Nikoloulopoulos & Dimitris Karlis. (2008) Copula model evaluation based on parametric bootstrap. Computational Statistics & Data Analysis 52:7, pages 3342-3353.
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RAFAEL SCHMIDT & ULRICH STADTMÜLLER. (2006) Non‐parametric Estimation of Tail Dependence. Scandinavian Journal of Statistics 33:2, pages 307-335.
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Peter Grundke. (2016) Ranking Consistency of Systemic Risk Measures: A Simulation-Based Analysis in a Banking Network Model. SSRN Electronic Journal.
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Mark Howard Salmon & Eric Bouyé. (2008) Dynamic Copula Quantile Regressions and Tail Area Dynamic Dependence in Forex Markets. SSRN Electronic Journal.
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