Estimation of multivariate conditional-tail-expectation using Kendall's process
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DOI: 10.1080/10485252.2014.889137
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References listed on IDEAS
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- Fabrizio Durante & Angelica Gianfreda & Francesco Ravazzolo & Luca Rossini, 2022. "A Multivariate Dependence Analysis for Electricity Prices, Demand and Renewable Energy Sources," Papers 2201.01132, arXiv.org.
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