Empirical evidence suggests that asset returns correlate more strongly in bear markets than conventional correlation estimates imply. We propose a method for determining complete tail-correlation matrices based on Value-at-Risk (VaR) estimates. We demonstrate how to obtain more effi cient...

The theory of maximum probability estimation is predominantly asymptotic. In this paper it is shown that in many cases maximum probability estimators based on small samples are admissible for all practical purposes, in the sense that their expected gain function is arbitrarily close to the...