Sökning: onr:"swepub:oai:gup.ub.gu.se/236158" >
Modelling, estimati...
Modelling, estimation and visualization of multivariate dependence for high-frequency data
-
- Brodin, Erik, 1975 (författare)
- Gothenburg University,Göteborgs universitet,Institutionen för matematiska vetenskaper, matematisk statistik,Department of Mathematical Sciences, Mathematical Statistics,University of Gothenburg,Chalmers tekniska högskola,Chalmers University of Technology
-
Klüppelberg, C. (författare)
-
(creator_code:org_t)
- ISBN 9783790824124
- 2009-12-29
- 2010
- Engelska.
-
Ingår i: Statistical Modelling and Regression Structures: Festschrift in Honour of Ludwig Fahrmeir. - Heidelberg : Physica-Verlag HD. - 9783790824124 ; , s. 267-300
- Relaterad länk:
-
http://dx.doi.org/10...
-
visa fler...
-
https://gup.ub.gu.se...
-
https://doi.org/10.1...
-
https://research.cha...
-
visa färre...
Innehållsförteckning
Abstract
Recensioner
Ämnesord
Stäng
No table of content available
- 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 method at work we apply it to a financial data set of high-frequency stock data and estimate the extreme dependence in the data. Among the results in the investigation we show that the extreme dependence is the same for different time scales. This is consistent with the result on high-frequency FX data reported in Hauksson et al. (2001). Hence, the different asset classes seem to share the same time scaling for extreme dependence. This time scaling property of high-frequency data is also explained from a theoretical point of view.
No review available
Ämnesord
- NATURVETENSKAP -- Matematik (hsv//swe)
- NATURAL SCIENCES -- Mathematics (hsv//eng)
Nyckelord
- extreme risk assessment
- high-frequency data
- multivariate extreme value statistics
- multivariate models
- Risk management
- tail dependence function
- multivariate models
Publikations- och innehållstyp
- vet (ämneskategori)
- kap (ämneskategori)
Hitta via bibliotek
Till lärosätets databas