Publication:5253267

zbMath1337.91003MaRDI QIDQ5253267

Paul Embrechts, Alexander J. McNeil, Rüdiger Frey

Publication date: 4 June 2015

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

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

91G70: Statistical methods; risk measures

62H05: Characterization and structure theory for multivariate probability distributions; copulas

60G70: Extreme value theory; extremal stochastic processes

91B84: Economic time series analysis

62-01: Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics

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

91G10: Portfolio theory

91-01: Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance

91G40: Credit risk

Related Items

Multivariate shuffles and approximation of copulas, Comparison of three semiparametric methods for estimating dependence parameters in copula models, Threshold copulas and positive dependence

Uses Software

• QRM