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~accessRights:"restricted"
~person:"Bormann, Carsten"
~person:"Račev, Svetlozar T."
~subject:"Risikomanagement"
~subject:"Statistical distribution"
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TWO-COMPONENT EXTREME VALUE DI...
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Bormann, Carsten
Račev, Svetlozar T.
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Detecting structural differences in tail dependence of financial time series
Bormann, Carsten
;
Schienle, Melanie
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
2
,
pp. 380-392
Persistent link: https://www.econbiz.de/10012262482
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Beyond dimension two : a test for higher-order tail risk
Bormann, Carsten
;
Schaumburg, Julia
;
Schienle, Melanie
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
3
,
pp. 552-580
Persistent link: https://www.econbiz.de/10011623690
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