Bormann, Carsten; Schienle, Melanie; Schaumburg, Julia - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2014
test to detect when tail dependence is truly high{dimensional and bivariate simplications would produce misleading results …. 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 bootstrap based …