POON, Ser-Huang; ROCKINGER, Michael; TAWN, Jonathan - HEC Paris (École des Hautes Études Commerciales) - 2001
In the finance literature, cross-sectional dependence in extreme returns of risky assets is often modeled implicitly assuming an asymptotically dependent structure. If the true dependence structure is asymptotically independent then existing finance models will lead to over-estimation of the...