Extreme dependence for multivariate data - Sciences Po Access content directly
Preprints, Working Papers, ... Year : 2010

Extreme dependence for multivariate data

Alfred Galichon
Damien Bosc


We present 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 quantify the strength of dependence between two given multivariate series using an entropic distance to extremally dependent distributions. We apply this method to build indices of exposure to a financial environment, and to do stress-tests on the correlation between two sets of financial variables.
Fichier principal
Vignette du fichier
2014-damien-bosc-extreme-dependence-for-multivariate-data.pdf (1.12 Mo) Télécharger le fichier
Origin : Publisher files allowed on an open archive

Dates and versions

hal-03588294 , version 1 (24-02-2022)



Alfred Galichon, Damien Bosc. Extreme dependence for multivariate data. 2010. ⟨hal-03588294⟩
36 View
11 Download


Gmail Facebook X LinkedIn More