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Dependence Estimation and Visualization in Multivariate Extremes with Applications to Financial Data |
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| Authors: | Tailen?Hsing mailto:thsing@stat.ohio-state.edu" title=" thsing@stat.ohio-state.edu" itemprop=" email" data-track=" click" data-track-action=" Email author" data-track-label=" " >Email author,Claudia?Klüppelberg,Gabriel?Kuhn |
| Affiliation: | (1) Department of Statistics, The Ohio State University, 1958 Neil Avenue, Cockins Hall, Columbus, OH 43210-1247, USA;(2) Center of Mathematical Sciences, Munich University of Technology, D-85747 Garching, Germany |
| 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.AMS 2000 Subject Classification. Primary—62G32, 62H12 Secondary—62E20 |
| Keywords: | extreme dependence function financial data analysis nonparametric estimation |
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