On the public citation graph

Nonparametric estimation of the lower tail dependence λLin bivariate copulas

https://doi.org/10.1080/02664760500079217
0 signed · 61 inferred · view as graph

Inferred edges come from two machine sources: sweeps of open repository metadata (mostly SSRN and Zenodo), and a bulk OpenAlex citation snapshot. Every row below is labelled with the one it came from. Neither is a complete citation index — absence here is not evidence of absence.

Is this your work? Sign in with ORCID and put your name on the claims that are yours.
Claim with ORCID
Reference health. See whether every reference in this work resolves to a known work and none has been retracted — and get a dated CiteStamped badge you can embed.
See reference health

What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1002/9781118673331openalex-snapshot
Copula Methods in Finance
inferredcites →https://doi.org/10.1007/3-540-48236-9openalex-snapshot
Scale-Space Theories in Computer Vision
inferredcites →https://doi.org/10.1007/978-1-4757-3076-0openalex-snapshot
An Introduction to Copulas
inferredcites →https://doi.org/10.1007/978-3-642-59365-9_14openalex-snapshot
Credit Risk Modelling and Estimation via Elliptical Copulae
inferredcites →https://doi.org/10.1017/cbo9780511615337.008openalex-snapshot
Correlation and Dependence in Risk Management: Properties and Pitfalls
inferredcites →https://doi.org/10.1111/j.2517-6161.1981.tb01173.xopenalex-snapshot
A Family of Distributions for Modelling Non-Elliptically Symmetric Multivariate Data
inferredcites →https://doi.org/10.1142/9781860949753openalex-snapshot
Correlation and Dependence
inferredcites →https://doi.org/10.1201/b13150openalex-snapshot
Multivariate Models and Multivariate Dependence Concepts
inferredcites →https://doi.org/10.2139/ssrn.1032533openalex-snapshot
Copulas for Finance - A Reading Guide and Some Applications
inferredcites →https://doi.org/10.2139/ssrn.249551openalex-snapshot
On Adaptive Tail Index Estimation for Financial Return Models
inferredcites →https://doi.org/10.2307/2533875openalex-snapshot
Multivariate Models and Dependence Concepts.
inferredcites →https://doi.org/10.3150/bj/1099579158openalex-snapshot
Weak convergence of empirical copula processes

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.2139/ssrn.1129855openalex-extracted
Dynamic Copula Quantile Regressions and Tail Area Dynamic Dependence in Forex Markets
inferred← citeshttps://doi.org/10.2139/ssrn.2787602openalex-extracted
inferred← citeshttps://doi.org/10.1002/9781118467404.othopenalex-snapshot
Extra Reading
inferred← citeshttps://doi.org/10.1002/9781118477144.ch11openalex-snapshot
Diversification Reconsidered
inferred← citeshttps://doi.org/10.1002/9781119119692.ch11openalex-snapshot
Diversification reconsidered
inferred← citeshttps://doi.org/10.1002/9781119209263.ch3openalex-snapshot
Volatility and Correlation
inferred← citeshttps://doi.org/10.1002/9781119409137.refsopenalex-snapshot
References
inferred← citeshttps://doi.org/10.1007/978-3-642-12465-5_10openalex-snapshot
Copula-Based Measures of Multivariate Association
inferred← citeshttps://doi.org/10.1007/978-3-642-21037-2_26openalex-snapshot
Multivariate Tail Dependence Coefficients for Archimedean Copulae
inferred← citeshttps://doi.org/10.1007/978-88-470-2342-0_43openalex-snapshot
Tail diversification strategy. An application to MSCI World Sector Indices
inferred← citeshttps://doi.org/10.1007/s00477-016-1249-zopenalex-snapshot
Joint probability of precipitation and reservoir storage for drought estimation in the headwater basin of the Huaihe River, China
inferred← citeshttps://doi.org/10.1007/s10260-014-0274-7openalex-snapshot
Nonparametric estimation of general multivariate tail dependence and applications to financial time series
inferred← citeshttps://doi.org/10.1007/s10260-017-0411-1openalex-snapshot
Clustering of financial instruments using jump tail dependence coefficient
inferred← citeshttps://doi.org/10.1007/s11156-018-0732-7openalex-snapshot
Ranking Consistency of Systemic Risk Measures: A Simulation-Based Analysis in a Banking Network Model
inferred← citeshttps://doi.org/10.1007/s41130-022-00175-1openalex-snapshot
Price dependence among the major EU extra virgin olive oil markets: a time scale analysis
inferred← citeshttps://doi.org/10.1016/b978-1-78548-191-8.50012-3openalex-snapshot
Bibliography
inferred← citeshttps://doi.org/10.1016/j.csda.2007.10.028openalex-snapshot
Copula model evaluation based on parametric bootstrap
inferred← citeshttps://doi.org/10.1016/j.csda.2010.07.016openalex-snapshot
Vine copulas with asymmetric tail dependence and applications to financial return data
inferred← citeshttps://doi.org/10.1016/j.econmod.2015.12.023openalex-snapshot
Spatial price dependence by time scale: Empirical evidence from the international butter markets
inferred← citeshttps://doi.org/10.1016/j.ememar.2017.03.002openalex-snapshot
The kidnapping of Europe: High-order moments' transmission between developed and emerging markets
inferred← citeshttps://doi.org/10.1016/j.eneco.2017.09.015openalex-snapshot
Chinese airline efficiency under CO2 emissions and flight delays: A stochastic network DEA model
inferred← citeshttps://doi.org/10.1016/j.frl.2018.10.018openalex-snapshot
Assessing tail risk for nonlinear dependence of MSCI sector indices: A copula three-stage approach
inferred← citeshttps://doi.org/10.1016/j.fss.2015.08.030openalex-snapshot
On tail dependence coefficients of transformed multivariate Archimedean copulas
inferred← citeshttps://doi.org/10.1016/j.fss.2024.109165openalex-snapshot
Quantile dependence: A generalization of upper and lower tail dependence
inferred← citeshttps://doi.org/10.1016/j.ijforecast.2018.01.007openalex-snapshot
Improving forecasting performance using covariate-dependent copula models
inferred← citeshttps://doi.org/10.1016/j.inteco.2018.10.001openalex-snapshot
Conditional quantiles and tail dependence in the volatilities of gold and silver
inferred← citeshttps://doi.org/10.1016/j.jcomm.2017.08.003openalex-snapshot
Price co-movement and the crack spread in the US futures markets
inferred← citeshttps://doi.org/10.1016/j.jmva.2019.02.013openalex-snapshot
Nonparametric estimation of multivariate tail probabilities and tail dependence coefficients
inferred← citeshttps://doi.org/10.1051/ro/2016065openalex-snapshot
A comparison between stochastic DEA and fuzzy DEA approaches: revisiting efficiency in Angolan banks
inferred← citeshttps://doi.org/10.1080/02664763.2014.980787openalex-snapshot
Tail-weighted measures of dependence
inferred← citeshttps://doi.org/10.1080/03610918.2011.650256openalex-snapshot
Nonparametric Tail Copula Estimation: An Application to Stock and Volatility Index Returns
inferred← citeshttps://doi.org/10.1080/10485252.2017.1407414openalex-snapshot
Tail-weighted dependence measures with limit being the tail dependence coefficient
inferred← citeshttps://doi.org/10.1080/13518470902853491openalex-snapshot
Dynamic copula quantile regressions and tail area dynamic dependence in Forex markets
inferred← citeshttps://doi.org/10.1080/1351847x.2017.1366350openalex-snapshot
Measuring systemic risk in the European banking sector: a copula CoVaR approach
inferred← citeshttps://doi.org/10.1093/erae/jbw015openalex-snapshot
Joint price dynamics of quality differentiated commodities: copula evidence from coffee varieties
inferred← citeshttps://doi.org/10.1109/icbmei.2011.5917036openalex-snapshot
Analysis of dependence for stocks using tail dependence coefficient
inferred← citeshttps://doi.org/10.1109/iceee.2010.5660326openalex-snapshot
Comparison of Estimators of Tail Dependence Coefficient
inferred← citeshttps://doi.org/10.1111/1467-8489.12147openalex-snapshot
Price linkages in the international skim milk powder market: empirical evidence from nonparametric and time-varying copulas
inferred← citeshttps://doi.org/10.1111/j.1467-9469.2005.00483.xopenalex-snapshot
Non‐parametric Estimation of Tail Dependence
inferred← citeshttps://doi.org/10.1111/rssc.12262openalex-snapshot
Using Artificial Censoring to Improve Extreme Tail Quantile Estimates
inferred← citeshttps://doi.org/10.1515/demo-2015-0015openalex-snapshot
On the tail dependence in bivariate hydrological frequency analysis
inferred← citeshttps://doi.org/10.2478/demo-2013-0005openalex-snapshot
Dependence of Stock Returns in Bull and Bear Markets
inferred← citeshttps://doi.org/10.2478/demo-2014-0001openalex-snapshot
Quantifying the impact of different copulas in a generalized CreditRisk+ framework An empirical study
inferred← citeshttps://doi.org/10.32614/cran.package.copbasicopenalex-snapshot
copBasic: General Bivariate Copula Theory and Many Utility Functions
inferred← citeshttps://doi.org/10.4028/www.scientific.net/amm.195-196.738openalex-snapshot
Simulation for Mixture of Archimedean Copulas
inferred← citeshttps://doi.org/10.48550/arxiv.2103.10912openalex-snapshot
Copula Averaging for Tail Dependence in Insurance Claims Data
inferred← citeshttps://doi.org/10.5351/csam.2014.21.5.445openalex-snapshot
Dependence Structure of Korean Financial Markets Using Copula-GARCH Model
inferred← citeshttps://doi.org/10.5351/kjas.2011.24.5.809openalex-snapshot
VaR Estimation with Multiple Copula Functions
inferred← citeshttps://doi.org/10.70675/2eff597cz573az4a0ez83a9z65c7789b8f90openalex-snapshot
Sur la dépendance des queues de distributions
Editorial review for independent work. ICSAC — the Institute for Complexity Science and Advanced Computing — runs a structured editorial panel for researchers publishing outside journals, and publishes on CiteStamp rails. Submission is free and goes through ORCID: icsacinstitute.org/submit.