Testing for Tail Independence in Extreme Value models
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Volume (Year): 58 (2006)
Issue (Month): 2 (June)
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References listed on IDEAS
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- Peng, L., 1999. "Estimation of the coefficient of tail dependence in bivariate extremes," Statistics & Probability Letters, Elsevier, vol. 43(4), pages 399-409, July.
- Hüsler, Jürg & Reiss, Rolf-Dieter, 1989. "Maxima of normal random vectors: Between independence and complete dependence," Statistics & Probability Letters, Elsevier, vol. 7(4), pages 283-286, February.
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