Two-Sample Testing for Tail Copulas with an Application to Equity Indices

S.U. Can, John Einmahl and Roger Laeven

No 2021-017, Discussion Paper from Tilburg University, Center for Economic Research

Keywords: Tail dependence; Tail copula; two-sample testing; financial crisis; distribution-free testing; martingale transformation (search for similar items in EconPapers)
Date: 2021
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Journal Article: Two-Sample Testing for Tail Copulas with an Application to Equity Indices (2024)
Working Paper: Two-Sample Testing for Tail Copulas with an Application to Equity Indices (2021)
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