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Keywords: Tail dependence
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Journal Articles
Journal:
Applied Economic Analysis
Applied Economic Analysis (2025) 33 (97): 53–75.
Published: 08 November 2024
... distribution, this paper proposes a multivariate left tail concentration function based on copulas. This function quantifies lower tail dependence at a finite scale, which, for practical purposes, is more suitable than estimating asymptotic measures, and can be represented in a 2D graph, facilitating...
Includes: Supplementary data
