Beyond dimension two: A test for higher-order tail risk
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- Carsten Bormann & Julia Schaumburg & Melanie Schienle, 2016. "Beyond Dimension two: A Test for Higher-Order Tail Risk," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 14(3), pages 552-580.
References listed on IDEAS
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More about this item
Keywordsdecomposition of multivariate tail dependence; multivariate extreme values; stable tail dependence function; extreme dependence modeling;
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
- C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2016-02-29 (All new papers)
- NEP-ECM-2016-02-29 (Econometrics)
- NEP-RMG-2016-02-29 (Risk Management)
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