Estimation of bivariate excess probabilities for elliptical models (Q1002536)
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scientific article; zbMATH DE number 5521466
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| English | Estimation of bivariate excess probabilities for elliptical models |
scientific article; zbMATH DE number 5521466 |
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Estimation of bivariate excess probabilities for elliptical models (English)
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2 March 2009
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asymptotic independence
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conditional excess probability
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elliptic law
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financial contagion
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rapidly varying tails
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0.8228688836097717
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0.8124220371246338
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0.8004209995269775
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0.7907831072807312
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0.7831453680992126
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