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  • Search: subject:"decomposition of multivariate tail dependence"
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Year of publication
Subject
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decomposition of multivariate tail dependence 3 extreme dependence modeling 3 multivariate extreme values 3 stable tail dependence function 3 Ausreißer 2 Estimation theory 2 Multivariate Analyse 2 Multivariate Verteilung 2 Multivariate analysis 2 Multivariate distribution 2 Outliers 2 Risikomaß 2 Risk measure 2 Schätztheorie 2 Statistical distribution 2 Statistische Verteilung 2
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Online availability
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Free 2 Undetermined 1
Type of publication
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Book / Working Paper 2 Article 1
Type of publication (narrower categories)
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Working Paper 2 Arbeitspapier 1 Article in journal 1 Aufsatz in Zeitschrift 1 Graue Literatur 1 Non-commercial literature 1
Language
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English 3
Author
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Bormann, Carsten 3 Schaumburg, Julia 3 Schienle, Melanie 3
Published in...
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Journal of financial econometrics : official journal of the Society for Financial Econometrics 1 KIT Working Paper Series in Economics 1 Working paper series in economics 1
Source
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ECONIS (ZBW) 2 EconStor 1
Showing 1 - 3 of 3
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Beyond dimension two: A test for higher-order tail risk
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 test for detecting situations when such pairwise measures are inadequate and give incomplete results. This occurs when a significant portion of the multivariate dependence...
Persistent link: https://www.econbiz.de/10011414987
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Cover Image
Beyond dimension two : a test for higher-order tail risk
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 test for detecting situations when such pairwise measures are inadequate and give incomplete results. This occurs when a significant portion of the multivariate dependence...
Persistent link: https://www.econbiz.de/10011414706
Saved in:
Cover Image
Beyond dimension two : a test for higher-order tail risk
Bormann, Carsten; Schaumburg, Julia; Schienle, Melanie - In: Journal of financial econometrics : official journal of … 14 (2016) 3, pp. 552-580
Persistent link: https://www.econbiz.de/10011623690
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