2 citations · 2 across the 2 of their papers we have counts for
2 papers
q-fin.RM2022
Comparing and quantifying tail dependence
Karl Friedrich Siburg, Christopher Strothmann, Gregor Weiß
We introduce a new stochastic order for the tail dependence between random variables. We then study different measures of tail dependence which are monotone in the proposed order,…
q-fin.RM2012★ 2 cited
Smooth Nonparametric Bernstein Vine Copulas
Gregor Weiß, Marcus Scheffer
We propose to use nonparametric Bernstein copulas as bivariate pair-copulas in high-dimensional vine models. The resulting smooth and nonparametric vine copulas completely obviate…