Dependence estimation and visualization in multivariate extremes with applications to financial data

Extremes

Volumn 7, Issue 2, 2004, Pages 99-121

  Hsing, Tailen ^a   Klüppelberg, Claudia ^b   Kuhn, Gabriel ^b  

^a OHIO STATE UNIVERSITY   (United States)

^b TECHNICAL UNIVERSITY OF MUNICH   (Germany)

Author keywords

Extreme dependence function; Financial data analysis; Nonparametric estimation

Indexed keywords

EID: 29144500310     PISSN: 13861999     EISSN: None     Source Type: Journal    
DOI: 10.1007/s10687-005-6194-z     Document Type: Article

References (21)

1. Coles, S.G., An Introduction to Statistical Modeling of Extreme Values, Springer, 2001.
2. Coles, S.G. and Tawn, J.A., "Modelling extreme multivariate events," J. R. Stat. Soc. B. 53, 377-392, (1991).
3. Einmahl, J., de Haan, L. and Sinha, A.K., "Estimating the spectral measure of an extreme value distribution," Stock. Proc. Appl. 70, 143-171, (1997).
4. Einmahl, J., de Haan, L. and Piterbarg, V.I., "Nonparametric estimation of the spectral measure of an extreme value distribution," Ann. Stat. 29, 1401-1423, (2001).
5. Embrechts, P., Klüppelberg, C. and Mikosch, T., Modelling Extremal Events for Insurance and Finance, Springer, Berlin, 1997.
6. Embrechts, P., de Haan, L. and Huang, X., "Modelling multivariate extremes," in Extremes and Integrated Risk Management (P. Embrechts, ed), RISK Books, 59-67, 2000.
7. De Haan, L. and Resnick, S., "Limit theory for multidimensional sample extremes," Z. Wahrscheinlichkeitstheorie, verw. Gebiete. 40, 317-337, (1977).
8. De Haan, L. and De Ronde, J., "Sea and wind: multivariate extremes at work," Extremes 1, 7-45, (1998).
9. Hauksson, H.A., Dacorogna, M., Domenig, T., Müller, U. and Samorodnitsky, G., "Multivariate extremes, aggregation and risk estimation," Quantitative Finance 1, 79-95, (2001). Available at http://papers.ssrn.com/sol3/papers.cfm?abstract_id=254392.
10. Huang, X., Statistics of Bivariate Extremes. Ph.D. Thesis, Erasmus University Rotterdam, Tinbergen Research Institute.no. 22, (1992).
11. Joe, H., Multivariate Models and Dependence Concepts, Chapman & Hall, London, 1997.
12. Kuhn, G., Multivariate Value at Risk Schätzung von Zins Swap Sätzen. Diploma Thesis. Munich University of Technology. Available at www.ma.tum.de/stat/. (2002).
13. Leadbetter, M.R., Lindgren, G. and Rootzén, H., Extremes and Related Properties of Random Sequences and Processes, Springer, New York, 1983.
14. Ledford, A. and Tawn, J., "Statistics for near independence in multivariate extreme values," Biometrika 83, 169-187, (1996).
15. Nelsen, R., An Introduction to Copulas. Lecture Note in Statistics, no. 139, Springer, New York, 1999.
16. Qi, Y., "Almost sure convergence of the stable tail empirical dependence function in multivariate extremes statistics," Acta. Math. Appl. Sin. 13, 167-175, (1997).
17. Resnick, S.I., Extreme Values, Regular Variations and Point Processes, Springer, New York, 1987.
18. Schlather, M. and Tawn, J., Properties of extremal coefficients. Technical report ST 00-01, Department of Mathematics and Statistics, Lancaster University, 2000.
19. Schlather, M. and Tawn, J., "A dependence measure for multivariate and spatial extreme values: Properties and inference," Biometrika 90, 139-156, (2003).
20. Smith, R.L., "Statistics of extremes, with applications in environment, insurance and finance," Chapter 1 of Extreme Values in Finance, Telecommunications and the Environment (B. Finkenstadt and H. Rootzén, eds), Chapman and Hall/CRC Press, 2003.
21. Tawn, J.A., "Bivariate extreme value theory: Models and estimation," Biometrika 75, 397-415, (1988).