Extreme Financial Risks
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Publication:3379404
DOI10.1007/B138841zbMath1093.62098OpenAlexW4235374062MaRDI QIDQ3379404
Yannick Malevergne, Didier Sornette
Publication date: 6 April 2006
Full work available at URL: https://doi.org/10.1007/b138841
measures of dependenceconcordance measuresmultivariate distribution of asset returnscollective extreme risksdependence structure of asset returnsfinancial dependences with copulasmarginal distributions of returnsmeasuring extreme dependences
Applications of statistics to actuarial sciences and financial mathematics (62P05) Research exposition (monographs, survey articles) pertaining to statistics (62-02)
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