New Extreme-Value Dependance Measures and Finance Applications
Year of publication: |
2001-02-06
|
---|---|
Authors: | POON, Ser-Huang ; ROCKINGER, Michael ; TAWN, Jonathan |
Institutions: | HEC Paris (École des Hautes Études Commerciales) |
Subject: | asymptotic independence | extreme value theory | Hill's estimator | tail index |
Extent: | application/pdf |
---|---|
Series: | |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series Les Cahiers de Recherche - Groupe HEC Number 719 29 pages |
Classification: | C13 - Estimation ; C22 - Time-Series Models ; G11 - Portfolio Choice ; G15 - International Financial Markets |
Source: |
-
New Extreme-Value Dependence Measures and Finance Applications
Poon, Ser-Huang, (2001)
-
Value at Risk of the main stock market indexes in the European Union (2000–2012)
Iglesias, Emma M., (2015)
-
Two EGARCH models and one fat tail
Caivano, M., (2013)
- More ...
-
Modelling extreme-value dependence in international stock markets.
Poon, Ser-Huang, (2003)
-
New extreme-value dependance measures and finance applications
Poon, Ser-Huang, (2001)
-
Modelling Extreme-Value Dependence in International Stock Markets
Rockinger, Michael, (2002)
- More ...