Extreme Financial Risks
From MaRDI portal
Publication:3379404
DOI10.1007/b138841zbMath1093.62098MaRDI QIDQ3379404
Yannick Malevergne, Didier Sornette
Publication date: 6 April 2006
Full work available at URL: https://doi.org/10.1007/b138841
measures of dependence; concordance measures; multivariate distribution of asset returns; collective extreme risks; dependence structure of asset returns; financial dependences with copulas; marginal distributions of returns; measuring extreme dependences
62P05: Applications of statistics to actuarial sciences and financial mathematics
62-02: Research exposition (monographs, survey articles) pertaining to statistics
Related Items
Testing the Gaussian copula hypothesis for financial assets dependences, RESPONSE FUNCTIONS TO CRITICAL SHOCKS IN SOCIAL SCIENCES: AN EMPIRICAL AND NUMERICAL STUDY, Efficient and robust portfolio optimization in the multivariate Generalized Hyperbolic framework, Testing for Positive Quadrant Dependence, Evolutionary patterns of onshore and offshore Renminbi exchange rates with convexity–concavity indicators, An adaptive dynamical model of default contagion, Testing for lower tail dependence in extreme value models, A Compendium of Copulas, CORRELATION UNDER STRESS IN NORMAL VARIANCE MIXTURE MODELS, Assessing dependence between financial market indexes using conditional time-varying copulas: applications to Value at Risk (VaR), Estimation of the Lognormal-Pareto Distribution Using Probability Weighted Moments and Maximum Likelihood, Absolutely Continuous Copulas with Given Diagonal Sections, Hierarchy of temporal responses of multivariate self-excited epidemic processes, Multivariate bubbles and antibubbles, Copula density estimation by total variation penalized likelihood with linear equality constraints, Strategic asset allocation with switching dependence, Dynamic bifurcations on financial markets, Heavy-tailed distribution of cyber-risks, On optimal portfolio diversification with respect to extreme risks, New constructions of diagonal patchwork copulas, Asymptotic results for the sum of dependent non-identically distributed random variables, Semiparametric bivariate Archimedean copulas, On the tail dependence in bivariate hydrological frequency analysis, Physics of risk and uncertainty in quantum decision making, On the construction of copulas and quasi-copulas with given diagonal sections, Nonlinear filtering with correlated Lévy noise characterized by copulas, Robust estimators and tests for bivariate copulas based on likelihood depth, Estimating asymptotic dependence functionals in multivariate regularly varying models, Constructions of copulas with given diagonal (and opposite diagonal) sections and some generalizations, Investigation of non-Gaussian effects in the Brazilian option market, Nonparametric estimation of general multivariate tail dependence and applications to financial time series, Finite-size effect and the components of multifractality in financial volatility, Clustering of financial time series in risky scenarios, On the Haezendonck-Goovaerts risk measure for extreme risks, Tail asymptotics for the sum of two heavy-tailed dependent risks, THE JOINT DISTRIBUTION OF STOCK RETURNS IS NOT ELLIPTICAL, MATHEMATICAL STRUCTURE OF QUANTUM DECISION THEORY, Modeling of long-range memory processes with inverse cubic distributions by the nonlinear stochastic differential equations, Rectangular Patchwork for Bivariate Copulas and Tail Dependence, Intelligent finance—an emerging direction, A multivariate Lévy process model with linear correlation
Uses Software