An implicit measure of tail dependence and its application for identification of the change of dependence between assets in market booms and crashes
Adonirio Panzieri Filho Vladimir Belitsky; Paulo Ricardo Magalhães Rocha; Fernando Pigeard de Almeida Prado
São Paulo IME-USP 2006
Available at IME - Inst. Matemática e Estatística (RT-MAE 2006 v.14 ) and other locations(GetIt)