Modern Extreme Value Theory at the Interface of Risk Management, Bayesian Networks and Heavy-Tailed Time Series

DOI10.1007/978-3-031-12244-6_10MaRDI QIDQ6061111zbMATH OpenOpenAlexFDO

Authors Paul Embrechts, Claudia Klüppelberg, T. Mikosch

Publication date 3 December 2023

Published in Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-031-12244-6_10

zbMATH Keywords

Bayesian networksheavy-tailed time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Extreme value theory; extremal stochastic processes (60G70) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05)

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Cites work

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• Multivariate subexponential distributions and their applications
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• Quantitative risk management. Concepts, techniques and tools
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• Stochastic Models with Power-Law Tails
• The extremogram: a correlogram for extreme events
• Time series: theory and methods.

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