Paths and indices of maximal tail dependence
by Edward Furman, Jianxi Su and Ričardas Zitikis
| Year of publication: |
2015
|
|---|---|
| Authors: | Furman, Edward ; Su, Jianxi ; Zitikis, Ričardas |
| Published in: |
Astin bulletin : the journal of the International Actuarial Association. - Cambridge : Cambridge University Press, ISSN 0515-0361, ZDB-ID 419201-1. - Vol. 45.2015, 3, p. 661-678
|
| Subject: | Multivariate distribution | copula | tail dependence | maximal dependence | fatal shock | multivariate Pareto | enterprise risk management | Multivariate Verteilung | Statistische Verteilung | Statistical distribution | Risikomanagement | Risk management | Theorie | Theory | Multivariate Analyse | Multivariate analysis | Schock | Shock | Ausreißer | Outliers | Risikomaß | Risk measure |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011397592