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Extreme dependence for multivariate data

Author

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  • Damien Bosc
  • Alfred Galichon

    (ECON - Département d'économie (Sciences Po) - Sciences Po - Sciences Po - CNRS - Centre National de la Recherche Scientifique)

Abstract

This article proposes a generalized notion of extreme multivariate dependence between two random vectors which relies on the extremality of the cross-covariance matrix between these two vectors. Using a partial ordering on the cross-covariance matrices, we also generalize the notion of positive upper dependence. We then propose a means to quantify the strength of the dependence between two given multivariate series and to increase this strength while preserving the marginal distributions. This allows for the design of stress-tests of the dependence between two sets of financial variables that can be useful in portfolio management or derivatives pricing. [Résumé éditeur]

Suggested Citation

  • Damien Bosc & Alfred Galichon, 2014. "Extreme dependence for multivariate data," Post-Print hal-03470461, HAL.
  • Handle: RePEc:hal:journl:hal-03470461
    DOI: 10.1080/14697688.2014.886777
    Note: View the original document on HAL open archive server: https://sciencespo.hal.science/hal-03470461
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