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Consistent information multivariate density optimizing methodology

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Multivariate tail copula : modeling and estimation

Klüppelberg, Claudia (contributor); … - 2006

In general, risk of an extreme outcome in financial markets can be expressed as a function of the tail copula of a high-dimensional vector after standardizing marginals. Hence it is of importance to model and estimate tail copulas. Even for moderate dimension, nonparametrically estimating a tail...