A comparison of tail dependence estimators

Supper, H, Irresberger, F orcid.org/0000-0002-7181-9190 and Weiß, G (2020) A comparison of tail dependence estimators. European Journal of Operational Research, 284 (2). pp. 728-742. ISSN 0377-2217



Copyright, Publisher and Additional Information: © 2020 Elsevier B.V. All rights reserved. This is an author produced version of a paper published in European Journal of Operational Research. Uploaded in accordance with the publisher's self-archiving policy.
Keywords: Tail dependence; Copulas; Simulation; Asset pricing
  • Accepted: 27 December 2019
  • Published (online): 13 January 2020
  • Published: 16 July 2020
Institution: The University of Leeds
Academic Units: The University of Leeds > Faculty of Business (Leeds) > Accounting & Finance Division (LUBS) (Leeds)
Depositing User: Symplectic Publications
Date Deposited: 03 Jan 2020 10:51
Last Modified: 13 Jan 2022 01:38
Status: Published
Publisher: Elsevier
Identification Number: https://doi.org/10.1016/j.ejor.2019.12.041

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