Nonparametric estimator for the integrated tail copula under smoothly varying tail copulas and heteroscedastic margins, with limiting processes unaffected by marginal heteroscedasticity, plus a test for constant tail copula.
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Trends in tail dependence of heteroscedastic extremes
Nonparametric estimator for the integrated tail copula under smoothly varying tail copulas and heteroscedastic margins, with limiting processes unaffected by marginal heteroscedasticity, plus a test for constant tail copula.