Extreme Financial Risks (Q3379404)

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Extreme Financial Risks
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    title
    Extreme Financial Risks (English)
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    DOI
    10.1007/b138841
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    author
    Yannick Malevergne
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    Didier Sornette
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    publication date
    6 April 2006
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    Mathematics Subject Classification ID
    62P05
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    62-02
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    91B30
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    zbMATH DE Number
    5017896
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    zbMATH Keywords
    collective extreme risks
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    marginal distributions of returns
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    measures of dependence
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    dependence structure of asset returns
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    multivariate distribution of asset returns
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    measuring extreme dependences
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    financial dependences with copulas
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    concordance measures
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