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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. (Update)
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BibTeX entry: (Update)
@misc{ for-modelling,
author = "Multivariate Dependence For",
title = "Modelling, Estimation and Visualization of",
url = "citeseer.ist.psu.edu/755868.html" }
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5 An Introduction to Statistical Modeling of Extreme Values (context) - Coles - 2001
4 Heavy tails in high-frequency financial data (context) - Muller, Dacorogna et al. - 1998
4 Dependence estimation and visualization in multivariate extr.. (context) - Hsing, Kluppelberg et al. - 2004
4 Extremes and Integrated Risk Management (context) - Embrechts - 2000
3 Dependence structures for multivariate high-frequency data i.. (context) - Breymann, Dias et al. - 2003
3 Estimating the tail dependence of an elliptical distribution (context) - Kluppelberg, Kuhn et al. - 2005
1 Temporal aggregation of GARCH processes Econometrica 61 (context) - Drost, Nijman - 1993
1 Dynamic copula models for multivariate high-frequency data i.. (context) - Dias, Embrechts - 2003
1 Semi-parametric models for the multivariate tail dependence .. (context) - Kluppelberg, Kuhn et al. - 2005
1 Correlation and dependence in risk managemant: properties an.. (context) - Embrechts, McNeil et al. - 2002
1 Copula structure analysis based on robust and extreme depend.. (context) - Kluppelberg, Kuhn - 2006
1 Estimating covariation: Epps e#ect (context) - Zhang - 2006
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