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Hsing, Tailen’ AUTHOR PAGE
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E-Mail: thsing@stat.tamu.edu
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webpage: http://stat.tamu.edu/~thsing/
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Affiliation: Texas A&M University
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Dependence Estimation and Visualization in Multivariate Extremes with Applications to Financial Data 2003
Hsing, Tailen
Kluppelberg, Claudia
Kuhn, Gabriel
 
We investigate extreme dependence in a multivariate setting with specialemphasis on ¯nancial applications. We introduce a new dependence functionwhich...
Modelling, Estimation and Visualization of Multivariate Dependence for Risk Management 2004
Hsing, Tailen
Kluppelberg, Claudia
Kuhn, Gabriel
 
Dependence modelling and estimation is a key issue in the assessment of portfoliorisk. When measuring extreme risk in terms of the Value-at-Risk, the ...
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