Bormann, Carsten; Schienle, Melanie; Schaumburg, Julia - 2014
In practice, multivariate dependencies of extreme risks are often only assessed in a pairwise way. We propose a novel … multivariate dependence structure in the tails is of higher dimension than two. Our test statistic is based on a decomposition of … the stable tail dependence function, which is standard in extreme value theory for describing multivariate tail dependence …