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Using the Gaussian null hypothesis, we use the Durbin (1954)-Wu (1973)-Hausman (1978) technique of exploiting the difference between two consistent estimators to develop a hypothesis test statistic that can detect asymptotic tail dependence in stock returns data.
T] apart from being a consistent estimator of W (Assumption B (iii)).
An alternative consistent estimator of [Mathematical Expression Omitted] is
Under certain conditions on K and g, [Mathematical Expression Omitted] is a consistent estimator of h([Xi]).
By using a Taylor-series expansion of the estimator (5), a consistent estimator can be obtained for its asymptotic variance, in terms of the variances and covariance for [[?
However, to obtain consistent estimators of parameters of interest, it may be necessary to use estimation techniques that result in biased estimates of u, and thus biased estimates of the standard errors of the function of interest.

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