Modelling extreme-value dependence in international stock markets

Statistica Sinica

Volumn 13, Issue 4, 2003, Pages 929-953

  Poon, Ser Huang ^a   Rockinger, Michael ^b   Tawn, Jonathan ^c  

^a UNIVERSITY OF MANCHESTER   (United Kingdom)

^b UNIVERSITY OF LAUSANNE   (Switzerland)

^c LANCASTER UNIVERSITY   (United Kingdom)

Author keywords

Asymptotic independence; Extreme value theory; Hill's estimator; Risk management; Tail index

Indexed keywords

EID: 0348229236     PISSN: 10170405     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

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