The extremal coefficient function has been discussed as an analog of the autocovariance function for extreme values. However, as to the behavior of valid extremal coefficient functions little is known apart from their positive definite type. In particular, the reconstruction of valid processes...

The financial econometrics literature includes several multivariate GARCH models where the model parameter matrices depend on a clustering of financial assets. Those classes might be defined a priori or data-driven. When the latter approach is followed, one method for deriving asset groups is...