Portfolio risk assessment using multivariate extreme value methods (Q482071)
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scientific article; zbMATH DE number 6381855
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| English | Portfolio risk assessment using multivariate extreme value methods |
scientific article; zbMATH DE number 6381855 |
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Portfolio risk assessment using multivariate extreme value methods (English)
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19 December 2014
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ARMA-GARCH filtering
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asymptotic dependence
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asymptotic independence
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copula
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multivariate extreme values
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0.8248382806777954
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0.7870174646377563
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0.7868290543556213
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0.7801589965820312
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0.7784104943275452
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