Modelling, estimation and visualization of multivariate dependence for high-frequency data
Kapitel i bok, 2010
multivariate models
tail dependence function
multivariate extreme value statistics
extreme risk assessment
high-frequency data
Risk management
Författare
Erik Brodin
Göteborgs universitet
Chalmers, Matematiska vetenskaper, Matematisk statistik
C. Klüppelberg
Center for Mathematical Sciences
Statistical Modelling and Regression Structures: Festschrift in Honour of Ludwig Fahrmeir
267-300
9783790824124 (ISBN)
Ämneskategorier
Matematik
DOI
10.1007/978-3-7908-2413-1_15
ISBN
9783790824124