Data for: Hypothesis testing for tail dependence parameters on the boundary of the parameter space

Published: 26-04-2021| Version 1 | DOI: 10.17632/ryvgj44krt.1
Contributor:
Anna Kiriliouk

Description

- Prices of CAC40 and DAX, downloaded from Yahoo Finance - Code for the weighted least squares estimator and the hypothesis test. Some of the function are adapted from the ones in the tailDepFun package (Kiriliouk, 2016)

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