Estimating multivariate heavy tails and principal directions easily, with an application to international exchange rates
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DOI: 10.1016/j.spl.2012.06.030
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References listed on IDEAS
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- Jensen DR, 2017. "Limits and Inferences for Alpha–Stable Variables," Biostatistics and Biometrics Open Access Journal, Juniper Publishers Inc., vol. 4(1), pages 15-18, December.
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Keywords
Multivariate stable distributions; Tail dependence; Principal directions;All these keywords.
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