Extremal financial risk models and portfolio evaluation

Computational Statistics and Data Analysis

Volumn 51, Issue 4, 2006, Pages 2313-2338

  Zhang, Zhengjun ^a   Huang, James ^b,c  

^a University of Wisconsin   (United States)

^b SOUTHWESTERN UNIVERSITY OF FINANCE AND ECONOMICS   (China)

^c LANCASTER UNIVERSITY   (United Kingdom)

Author keywords

Extreme value theory; Financial risk; M4 processes; Markov chains; Portfolio evaluation; Tail dependence index

Indexed keywords

COMPUTER SIMULATION; MARKOV PROCESSES; MATHEMATICAL MODELS; RISK MANAGEMENT; STATISTICAL METHODS; TIME SERIES ANALYSIS;

EXTREME VALUE THEORY; FINANCIAL RISK; M4 PROCESSES; PORTFOLIO EVALUATION; TAIL DEPENDENCE INDEX;

MULTIVARIABLE SYSTEMS;

EID: 33750970273     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2006.09.042     Document Type: Article

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