Multivariate generalized Pareto distributions along extreme directions
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"An M-Estimator for Tail Dependence in Arbitrary Dimensions,"
Discussion Paper
2011-013, Tilburg University, Center for Economic Research.
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This paper has been announced in the following NEP Reports:- NEP-ECM-2024-01-08 (Econometrics)
- NEP-RMG-2024-01-08 (Risk Management)
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