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Document type:
Buchbeitrag 
Author(s):
Brodin, E., Klüppelberg, C. 
Artist:
Kneib, Thomas; Tutz, Gerhard (Eds.) 
Title:
Modelling, estimation and visualization of multivariate dependence for high-frequency data. 
Pages contribution:
267-300 
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...    »
 
Book title:
Statistical Modelling and Regression Structures 
Book subtitle:
Festschrift in Honour of Ludwig Fahrmeir Kneib 
Publisher:
Springer 
Publisher address:
Heidelberg 
Year:
2010 
Reviewed:
ja 
Language:
en 
Semester:
SS 10 
TUM Institution:
Lehrstuhl für Mathematische Statistik 
Format:
Text