Arbeitspapier
Dependence estimation and visualization in multivariate extremes with applications to financial data
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Discussion Paper ; No. 374
- Thema
-
Extreme dependence function
nonparametric estimation
financial data analysis
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Hsing, Tailen
Klüppelberg, Claudia
Kuhn, Gabriel
- Ereignis
-
Veröffentlichung
- (wer)
-
Ludwig-Maximilians-Universität München, Sonderforschungsbereich 386 - Statistische Analyse diskreter Strukturen
- (wo)
-
München
- (wann)
-
2003
- DOI
-
doi:10.5282/ubm/epub.1745
- Handle
- URN
-
urn:nbn:de:bvb:19-epub-1745-2
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Hsing, Tailen
- Klüppelberg, Claudia
- Kuhn, Gabriel
- Ludwig-Maximilians-Universität München, Sonderforschungsbereich 386 - Statistische Analyse diskreter Strukturen
Entstanden
- 2003
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