Beyond dimension two : a test for higher-order tail risk
Carsten Bormann, Julia Schaumburg and Melanie Schienle
| Year of publication: |
2016
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|---|---|
| Authors: | Bormann, Carsten ; Schaumburg, Julia ; Schienle, Melanie |
| Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 14.2016, 3, p. 552-580
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| Subject: | decomposition of multivariate tail dependence | multivariate extreme values | stable tail dependence function | extreme dependence modeling | Statistische Verteilung | Statistical distribution | Ausreißer | Outliers | Multivariate Verteilung | Multivariate distribution | Schätztheorie | Estimation theory | Risikomaß | Risk measure | Multivariate Analyse | Multivariate analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbv022 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011623690