Bormann, Carsten; Schienle, Melanie; Schaumburg, Julia - 2014
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 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 …