Zobrazeno 1 - 10
of 22
pro vyhledávání: '"EXTREMEVALUE COPULA"'
Publikováno v:
Journal of Statistical Planning and Inference
Journal of Statistical Planning and Inference, Elsevier, 2017, 183, pp.1-17. ⟨10.1016/j.jspi.2016.10.004⟩
Journal of Statistical Planning and Inference, 2017, 183, pp.1-17. ⟨10.1016/j.jspi.2016.10.004⟩
Journal of Statistical Planning and Inference, Elsevier, 2017, 183, pp.1-17. ⟨10.1016/j.jspi.2016.10.004⟩
Journal of Statistical Planning and Inference, 2017, 183, pp.1-17. ⟨10.1016/j.jspi.2016.10.004⟩
Many applications in risk analysis require the estimation of the dependence among multivariate maxima, especially in environmental sciences. Such dependence can be described by the Pickands dependence function of the underlying extreme-value copula.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::8f51cb5455ae61e6232be897530676d4
https://hal.archives-ouvertes.fr/hal-03226744
https://hal.archives-ouvertes.fr/hal-03226744
Autor:
Mai, Jan-Frederik1 mai@tum.de, Scherer, Matthias1 scherer@tum.de
Publikováno v:
ALEA. Latin American Journal of Probability & Mathematical Statistics. 2019, Vol. 16, p977-1005. 29p.
Autor:
Toshiaki Aizawa1
Publikováno v:
Journal of Human Capital. Spring2020, Vol. 14 Issue 1, p122-164. 43p.
Autor:
Bücher, Axel1 axel.buecher@rub.de, Kinsvater, Paul2 kinsvater@statistik.tu-dortmund.de, Kojadinovic, Ivan3 ivan.kojadinovic@univ-pau.fr
Publikováno v:
Extremes. Mar2017, Vol. 20 Issue 1, p53-89. 37p.
Autor:
KOJADINOVIC, IVAN1, YAN, JUN2
Publikováno v:
Scandinavian Journal of Statistics. Sep2012, Vol. 39 Issue 3, p480-496. 17p. 4 Charts, 2 Graphs.
Autor:
Cormier, Eric1 eric.cormier3@mail.mcgill.ca, Genest, Christian1 christian.genest@mcgill.ca, Nešlehová, Johanna1 neslehova@math.mcgill.ca
Publikováno v:
Extremes. Dec2014, Vol. 17 Issue 4, p633-659. 27p.
Autor:
Mai, Jan-Frederik1 jan-frederik.mai@xaia.com, Scherer, Matthias2 scherer@tum.de
Publikováno v:
Extremes. Mar2014, Vol. 17 Issue 1, p77-95. 19p.
Publikováno v:
Journal of Theoretical Probability; Mar2017, Vol. 30 Issue 1, p365-383, 19p
Publikováno v:
Statistics & Computing; Sep2016, Vol. 26 Issue 5, p965-979, 15p
Autor:
Ahmed Ghorbel, Abdelwahed Trabelsi
Publikováno v:
The Journal of Risk. 11:51-85
In this paper we propose a method to estimate the value-at-risk (VaR) of a portfolio based on a combination of time series, extreme value theory and copula fitting. Given multivariate financial data, we use a univariate ARMA-GARCH model for each retu
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::fd8748453542f5eb334b48ff1c191062
https://doi.org/10.21314/jor.2009.196
https://doi.org/10.21314/jor.2009.196