EconBiz - Find Economic Literature
    • Logout
    • Change account settings
  • A-Z
  • Beta
  • About EconBiz
  • News
  • Thesaurus (STW)
  • Academic Skills
  • Help
  •  My account 
    • Logout
    • Change account settings
  • Login
EconBiz - Find Economic Literature
Publications Events
Search options
Advanced Search history
My EconBiz
Favorites Loans Reservations Fines
    You are here:
  • Home
  • Search: subject:"Pickands–Balkema–de Haan Theorem"
Narrow search

Narrow search

Year of publication
Subject
All
Bootstrap approach 1 Bootstrap-Verfahren 1 Extreme value theory 1 Loss 1 Peaks-over-threshold method 1 Pickands-Balkema-de Haan theorem 1 Pickands–Balkema–de Haan Theorem 1 Probability theory 1 Risikomaß 1 Risk measure 1 Statistical distribution 1 Statistische Verteilung 1 Tail dependence 1 Theorie 1 Theory 1 VAR model 1 VAR-Modell 1 Verlust 1 Wahrscheinlichkeitsrechnung 1 empirical bootstrap 1 loss distribution 1 maximum value-at-risk (VaR) 1 order statistics 1
more ... less ...
Online availability
All
Undetermined 2
Type of publication
All
Article 2
Type of publication (narrower categories)
All
Article in journal 1 Aufsatz in Zeitschrift 1
Language
All
English 1 Undetermined 1
Author
All
Di Bernardino, Elena 1 Maume-Deschamps, Véronique 1 Mitic, Peter 1 Prieur, Clémentine 1
Published in...
All
Journal of Multivariate Analysis 1 The journal of operational risk 1
Source
All
ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
Cover Image
Credible value-at-risk
Mitic, Peter - In: The journal of operational risk 18 (2023) 4, pp. 33-70
Persistent link: https://www.econbiz.de/10014490183
Saved in:
Cover Image
Estimating a bivariate tail: A copula based approach
Di Bernardino, Elena; Maume-Deschamps, Véronique; … - In: Journal of Multivariate Analysis 119 (2013) C, pp. 81-100
general extension of the POT (peaks-over-threshold) method, mainly based on a two-dimensional version of the Pickands–Balkema–de … Haan Theorem. We introduce a new parameter that describes the nature of the tail dependence, and we provide a way to …
Persistent link: https://www.econbiz.de/10010678851
Saved in:
A service of the
zbw
  • Sitemap
  • Plain language
  • Accessibility
  • Contact us
  • Imprint
  • Privacy

Loading...