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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
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