Document Search
Add To My Bookshelf Sign in or Register Save And Annotate
Keywords:

EVT sign in to follow this
extreme sign in to follow this
value sign in to follow this
dependence sign in to follow this
copula sign in to follow this
Categories:

VaR Methods sign in to follow this
--Extreme Value Theory sign in to follow this
Half-Life:
Impact:
Discuss This Paper
Sign in to follow this page
Recent Comments
  more
Dependence Estimation and Visualization in Multivariate Extremes with Applications to Financial Data
Year Of Publication: 2003
Month Of Publication: December
Pages: 24
Download Count: 893
View Count: 7881
Comment Num: 0
Language: EN
Source:
Who Can Read: Free
Date: 6-20-2004
Publisher: Administrator
Summary
We investigate extreme dependence in a multivariate setting with specialemphasis on ¯nancial applications. We introduce a new dependence functionwhich allows us to capture the complete extreme dependence structure andpresent a nonparametric estimation procedure. The new dependence functionis compared with existing measures including the spectral measure and otherdevices measuring extreme dependence. We also apply our method to a ¯nan-cial data set of zero coupon swap rates and estimate the extreme dependencein the dat
Author(s)
Hsing, Tailen Sign in to follow this author
Kluppelberg, Claudia Sign in to follow this author
Kuhn, Gabriel Sign in to follow this author
This document's citation network:
Similar Documents:
Close window
Sign up in one step, no personal information required. Already a Member?



Email:
Repeat Email:
User Name:
Password:
Confirm Password:

Sign Up


Welcome to GloriaMundi!
Thanks for singning up



continue or edit your profile