Tail Dependence of Factor Models
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- Einmahl, J.H.J. & Krajina, A. & Segers, J., 2011.
"An M-Estimator for Tail Dependence in Arbitrary Dimensions,"
2011-013, Tilburg University, Center for Economic Research.
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- Pourkhanali, Armin & Kim, Jong-Min & Tafakori, Laleh & Fard, Farzad Alavi, 2016. "Measuring systemic risk using vine-copula," Economic Modelling, Elsevier, vol. 53(C), pages 63-74.
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