Publication:5253267
zbMath1337.91003MaRDI QIDQ5253267
Paul Embrechts, Alexander J. McNeil, Rüdiger Frey
Publication date: 4 June 2015
62P20: Applications of statistics to economics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G70: Statistical methods; risk measures
62H05: Characterization and structure theory for multivariate probability distributions; copulas
60G70: Extreme value theory; extremal stochastic processes
91B84: Economic time series analysis
62-01: Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics
91G20: Derivative securities (option pricing, hedging, etc.)
91G10: Portfolio theory
91-01: Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance
91G40: Credit risk
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