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Dokumenttyp:
Buchbeitrag 
Autor(en):
Brodin, E., Klüppelberg, C. 
Künstler (Werkautoren):
Kneib, Thomas; Tutz, Gerhard (Eds.) 
Titel:
Modelling, estimation and visualization of multivariate dependence for high-frequency data. 
Abstract:
Dependence modelling and estimation is a key issue in the assessment of financial risk. It is common knowledge meanwhile that the multivariate normal model with linear correlation as its natural dependence measure is by no means an ideal model. We suggest a large class of models and a dependence function, which allows us to capture the complete extreme dependence structure of a portfolio. We also present a simple nonparametric estimation procedure of this function. To show our new me...    »
 
Seitenangaben Beitrag:
267-300 
Buchtitel:
Statistical Modelling and Regression Structures 
Titelzusatz:
Festschrift in Honour of Ludwig Fahrmeir Kneib 
Verlag / Institution:
Springer 
Verlagsort:
Heidelberg 
Jahr:
2010 
Reviewed:
ja 
Sprache:
en 
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik 
Semester:
SS 10 
Format:
Text