Dependence Estimation and Visualization in Multivariate Extremes with Applications to Financial Data

We investigate extreme dependence in a multivariate setting with
special emphasis on financial applications. We introduce a new
dependence function which allows us to capture the complete extreme
dependence structure and present a nonparametric estimation
procedure. The new dependence function is compared with existing
measures including the spectral measure and other devices measuring
extreme dependence. We also apply our method to a financial data
set of zero coupon swap rates and estimate the extreme dependence
in the data.