Linear correlation and EVT : properties and caveats
Year of publication: |
2009
|
---|---|
Authors: | Embrechts, Paul |
Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 7.2009, 1, p. 30-39
|
Subject: | Kreditrisiko | Credit risk | Multivariate Verteilung | Multivariate distribution | Korrelation | Correlation | Ausreißer | Outliers | Subprime-Krise | Subprime financial crisis | Finanzkrise | Financial crisis |
-
Financial crisis, Value-at-Risk forecasts and the puzzle of dependency modeling
Berger, Theo, (2014)
-
Measuring systemic risk : common factor exposures and tail dependence effects
Chiu, Wan-Chien, (2015)
-
Liu, Hsiang-Hsi, (2019)
- More ...
-
Modeling exchange rate dependence dynamics at different time horizons
Dias, Alexandra, (2010)
-
Embrechts, Paul, (1982)
-
Sample quantiles of heavy tailed stochastic processes
Embrechts, Paul, (1995)
- More ...