A multivariate version of Hoeffding's Phi-Square

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Copula-Based Measures of Multivariate Association (2010, background): “[34] define a generalized multivariate version of Hoeffding’s Φ2 by”
A review of copula models for economic time series (2012, methodology): “[62] suggest a block bootstrap approach to conduct inference on dependence measures for serially dependent data, and Ruppert [130] proposes a block multiplier technique for inference on the empirical copula process of time series data.”
Copula Methods for Forecasting Multivariate Time Series (2013, background): “, the numerator is the conditional distribution of Uit given [U1t; :::; Ui 1;t] ; and the denominator is the conditional density of [U1t; :::; Ui 1;t] : The usefulness of this transformation lies in the result that if the specied conditional copula model is correct, then Vt [V1t; :::; Vnt] s iid Ci”