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.
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AMS 2000 Subject Classification. Primary—62G32, 62H12 Secondary—62E20
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Hsing, T., Klüppelberg, C. & Kuhn, G. Dependence Estimation and Visualization in Multivariate Extremes with Applications to Financial Data. Extremes 7, 99–121 (2004). https://doi.org/10.1007/s10687-005-6194-z
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DOI: https://doi.org/10.1007/s10687-005-6194-z