Two-sample testing for tail copulas with an application to equity indices
Sami Umut Can, John H. J. Einmahl, and Roger J. A. Laeven
| Year of publication: |
2024
|
|---|---|
| Authors: | Can, Sami Umut ; Einmahl, John H. J. ; Laeven, Roger J. A. |
| Subject: | Tail copula | Distribution-free testing | Financial crisis | Martingale transformation | Tail dependence | Two-sample testing | Multivariate Verteilung | Multivariate distribution | Statistische Verteilung | Statistical distribution | Statistischer Test | Statistical test | Theorie | Theory | Finanzkrise | Zeitreihenanalyse | Time series analysis | Aktienindex | Stock index | Bootstrap-Verfahren | Bootstrap approach | Martingal | Martingale | Kapitaleinkommen | Capital income | Schätzung | Estimation |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2023.2166050 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014449844