Nonparametric Tail Copula Estimation: An Application to Stock and Volatility Index Returns. - Yuri Salazar; Wing Lon Ng (Commun. Stat. Simul. Comput., 2013)

Nonparametric estimation of general multivariate tail dependence and applications to financial time series. - Yuri Salazar; Wing Lon Ng (Stat. Methods Appl., 2015)