Two-sample testing for tail copulas with an application to equity indices
Year of publication: |
1 July 2021
|
---|---|
Authors: | Can, Sami Umut ; Einmahl, John H. J. ; Laeven, Roger J. A. |
Publisher: |
Tilburg : CentER, Center for Economic Research |
Subject: | Tail dependence | tail copula | two-sample testing | financial crisis | distribution-free testing | martingale transformation | Theorie | Theory | Multivariate Verteilung | Multivariate distribution | Statistischer Test | Statistical test | Statistische Verteilung | Statistical distribution | Finanzkrise | Financial crisis | Martingal | Martingale | Zeitreihenanalyse | Time series analysis | Stichprobenerhebung | Sampling |
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