Two-Sample Testing for Tail Copulas with an Application to Equity Indices
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Publication:6190777
DOI10.1080/07350015.2023.2166050OpenAlexW3215856219MaRDI QIDQ6190777
Roger J. A. Laeven, John H. J. Einmahl, Sami Umut Can
Publication date: 6 March 2024
Published in: Journal of Business & Economic Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07350015.2023.2166050
financial crisistail dependencemartingale transformationtail copulatwo-sample testingdistribution-free testing
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