Hsing, T. and Klüppelberg, Claudia and Kuhn, Gabriel
Dependence Estimation and Visualization in Multivariate Extremes with Applications to Financial Data.
Collaborative Research Center 386, Discussion Paper 374
We investigate extreme dependence in a multivariate setting with special emphasis on financial applications. We introduce a new dependence function which allows us to capture the complete extreme dependence structure and present a nonparametric estimation procedure. The new dependence function is compared with existing measures including the spectral measure and other devices measuring extreme dependence. We also apply our method to a financial data set of zero coupon swap rates and estimate the extreme dependence in the data.