Bormann, Carsten; Schienle, Melanie; Schaumburg, Julia - 2014
test to detect when tail dependence is truly high{dimensional and bivariate simplifications would produce misleading … 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. The asymptotic properties of the test are provided and a …