Dependence Estimation and Visualization in Multivariate Extremes with Applications to Financial Data

Hsing, T.; Klüppelberg, Claudia und Kuhn, Gabriel (2004): Dependence Estimation and Visualization in Multivariate Extremes with Applications to Financial Data. Sonderforschungsbereich 386, Discussion Paper 374

Abstract

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.

• Dokumententyp: Paper
• Fakultät: Mathematik, Informatik und Statistik > Statistik > Sonderforschungsbereich 386 ; Sonderforschungsbereiche > Sonderforschungsbereich 386
• Themengebiete: 500 Naturwissenschaften und Mathematik > 510 Mathematik
• Sprache: Englisch