Bormann, Carsten; Schaumburg, Julia; Schienle, Melanie - 2016
In practice, multivariate dependencies between extreme risks are often only assessed in a pairwise way. We propose a … significant portion of the 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 describing multivariate tail dependence. The asymptotic …