Qingzhao Zhang

Chinese Academy of Sciences (CAS)

52 Sanlihe Rd.

Datun Road, Anwai

Beijing, Xicheng District 100864

China

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A Note on Tail Dependence Regression

Posted: 29 May 2013
Qingzhao Zhang, Deyuan Li and Hansheng Wang
Chinese Academy of Sciences (CAS), Fudan University and Peking University - Guanghua School of Management

Abstract:

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Approximate Maximum Likelihood Estimation, Tail Dependence Index, Tail Dependence Regression