Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/31018 
Year of Publication: 
2003
Series/Report no.: 
Discussion Paper No. 374
Publisher: 
Ludwig-Maximilians-Universität München, Sonderforschungsbereich 386 - Statistische Analyse diskreter Strukturen, München
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.
Subjects: 
Extreme dependence function
nonparametric estimation
financial data analysis
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

Files in This Item:
File
Size
629.23 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.