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Kuhn, Gabriel’ AUTHOR PAGE
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E-Mail: gabriel@ma.tum.de
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webpage: http://www-m4.ma.tum.de/m4/pers/gabriel/
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Affiliation: Technische Universit?t München
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Semi-Parametric Models for the Multivariate Tail Dependence Function - The Asymptotically Dependent Case 2007
Kluppelberg, Claudia
Peng, Liang
Kuhn, Gabriel
 
In general, the risk of joint extreme outcomes in financial markets can be expressed as a function of the tail dependence function of a high-dimension...
Multivariate Value at Risk Schätzung von Zins Swap Sätzen 2001
Kuhn, Gabriel
 
Fur die Analyse der Daten wird zuerst uberpruft, ob die iid Annahme nicht verworfen werden kann. Ensprechende Tests verwerfen diese Hypothese nicht. W...
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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