Bormann, Carsten; Schienle, Melanie; Schaumburg, Julia - 2014
In practice, multivariate dependencies between extreme risks are often only assessed in a pairwise way. We propose a … results. This occurs when a significant portion of the multivariate dependence structure in the tails is of higher dimension … extreme value theory for describing multivariate tail dependence. The asymptotic properties of the test are provided and a …