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arXiv · 2102.04461

Extreme dependence for multivariate data

Damien Bosc·Alfred Galichon
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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 proposes 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.

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BibTeXRIS

Damien Bosc, Alfred Galichon. 2021-02-08. Extreme dependence for multivariate data. https://doi.org/10.1080/14697688.2014.886777

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