14-024/III - A Test for the Portion of Bivariate Dependence in Multivariate Tail Risk

• Authors
  Carsten Bormann; Melanie Schienle, Leibniz Universität Hannover, Germany; Julia Schaumburg, VU University Amsterdam
• Publication date
  February 25, 2014

• Keywords
  decomposition of tail dependence, multivariate extreme values, stable tail dependence function, subsample bootstrap, tail correlation
• JEL
  C12, C19