Extreme dependence for multivariate data

DOI10.1080/14697688.2014.886777zbMath1402.62248arXiv2102.04461MaRDI QIDQ5245458

Damien Bosc, Alfred Galichon

Publication date: 8 April 2015

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2102.04461

zbMATH Keywords

extreme dependence; multivariate dependence; covariance set

Mathematics Subject Classification ID

62H10: Multivariate distribution of statistics

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G20: Derivative securities (option pricing, hedging, etc.)

91G10: Portfolio theory

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