The use of the tail dependence function for high quantile risk measure analysis : an application to portfolio optimization

Yuri Salazar Flores, Adán Díaz Hernández, Luis Alberto Quezada-Téllez, Oralia Nolasco Jáuregui

Year of publication:	2023
Authors:	Salazar Flores, Yuri ; Díaz Hernández, Adán ; Quezada-Téllez, Luis Alberto ; Nolasco Jáuregui, Oralia
Subject:	extreme value theory \| nonparametric and parametric copula estimation \| Portfolio optimisation \| tail dependence \| Value at Risk \| Risikomaß \| Risk measure \| Portfolio-Management \| Portfolio selection \| Ausreißer \| Outliers \| Statistische Verteilung \| Statistical distribution \| Multivariate Verteilung \| Multivariate distribution \| Nichtparametrisches Verfahren \| Nonparametric statistics \| Schätztheorie \| Estimation theory

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Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.1080/00036846.2022.2128183 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

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