KLÜPPELBERG, CLAUDIA; KUHN, GABRIEL; PENG, LIANG - In: Scandinavian Journal of Statistics 35 (2008) 4, pp. 701-718
In general, the risk of joint extreme outcomes in financial markets can be expressed as a function of the tail dependence function of a high-dimensional vector after standardizing marginals. Hence, it is of importance to model and estimate tail dependence functions. Even for moderate dimension,...