In practice, multivariate dependencies between extreme risks are often only assessed in a pairwise way. We propose a test to detect when tail dependence is truly high{dimensional and bivariate simplifications would produce misleading results. This occurs when a significant portion of the...

Lognormal random variables appear naturally in many engineering disciplines, including wireless communications, reliability theory, and finance. So, too, does the sum of (correlated) lognormal random variables. Unfortunately, no closed form probability distribution exists for such a sum, and it...

Realized covariance matrices (RCs) are an important input to asses the risks involved in different investment allocations and it is thus useful to model and forecast them. To this end generalized autoregressive score (GAS) models are employed in this paper. These models are ideal for comparing...