In practice, multivariate dependencies between extreme risks are often only assessed in a pairwise way. We propose a test to detect when tail dependence is truly high-dimensional and bivariate simplifications would produce misleading results. This occurs when a significant portion of the...

In practice, multivariate dependencies between extreme risks are often only assessed in a pairwise way. We propose a test to detect when tail dependence is truly high{dimensional and bivariate simplications would produce misleading results. This occurs when a signicant portion of the...

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...

In practice, multivariate dependencies between extreme risks are often only assessed in a pairwise way. We propose a test to detect when tail dependence is truly high-dimensional and bivariate simplifications would produce misleading results. This occurs when a significant portion of the...

In practice, multivariate dependencies between extreme risks are often only assessed in a pairwise way. We propose a test to detect when tail dependence is truly high{dimensional and bivariate simpli cations would produce misleading results. This occurs when a signi cant portion of the...

An accurate assessment of tail inequalities and tail asymmetries of financial returns is key for risk management and portfolio allocation. We propose a new test procedure for detecting the full extent of such structural differences in the dependence of bivariate extreme returns. We decompose the...

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...

In practice, multivariate dependencies of extreme risks are often only assessed in a pairwise way. We propose a novel test to detect when bivariate simplifications produce misleading results. This occurs when a significant portion of the multivariate dependence structure in the tails is of...

In practice, multivariate dependencies between extreme risks are often only assessed in a pairwise way. We propose a test to detect when tail dependence is truly high{dimensional and bivariate simplifications would produce misleading results. This occurs when a significant portion of the...

This article studies nonparametric estimation of a regression model for d ≥ 2 potentially non-stationary regressors. It provides the first nonparametric procedure for a wide and important range of practical problems, for which there has been no applicable nonparametric estimation technique...