Zusammenfassung
We employ the log returns of the DAX, S&P 500, and FTSE 100 indexes through the sample period from January 2, 1992 to December 31, 2012, covering 4,884 trading days. Our first application is based on a bivariate model for the analysis of the clustering of extreme los and gains of an equally-weighted portfolio based on the three indexes. The second application considers a trivariate model to jointly model negative log returns of the three indexes.
