Advances in extreme value theory with applications to finance.

MaRDI QIDQ3565225zbMATH OpenFDO

Authors S. Yu. Novak

Publication date 3 June 2010

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Central limit and other weak theorems (60F05)

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Cited in

(7)

• Introduction to extreme value theory: applications to risk analysis and management
• Modern Extreme Value Theory at the Interface of Risk Management, Bayesian Networks and Heavy-Tailed Time Series
• On limiting cluster size distributions for processes of exceedances for stationary sequences
• The coupling method in extreme value theory
• scientific article; zbMATH DE number 5898106 (Why is no real title available?)
• Editorial: Special issue on extremes in finance
• scientific article; zbMATH DE number 5713946 (Why is no real title available?)

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