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 …. This occurs when a signicant portion of the multivariate dependence structure in the tails is of higher dimension than two …. Our test statistic is based on a decomposition of the stable tail dependence function, which is standard in extreme value …