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

Hsing, T.; Klüppelberg, Claudia; Kuhn, Gabriel (2004): Dependence Estimation and Visualization in Multivariate Extremes with Applications to Financial Data. Collaborative Research Center 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.

• Item Type: Paper (Research Paper)
• Faculties: Mathematics, Computer Science and Statistics > Statistics > Collaborative Research Center 386; Special Research Fields > Special Research Field 386
• Subjects: 500 Science > 510 Mathematics
• Language: English