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Volumn , Issue , 2005, Pages 65-91

Tail l

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EID: 84889980149     PISSN: None     EISSN: None     Source Type: Book    
DOI: 10.1007/3-540-27395-6_3     Document Type: Chapter
Times cited : (8)

References (28)
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  • 3
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  • 5
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    • Draisma, G., Drees, H., Ferreira, A. and De Haan, L. (2004). Bivariate tail estimation: dependence in asymptotic independence, Bernoulli 10(2):251-280.
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    • Draisma, G.1    Drees, H.2    Ferreira, A.3    De Haan, L.4
  • 6
    • 0001061726 scopus 로고    scopus 로고
    • Selecting the optimal sample fraction in univariate extreme value estimation
    • Drees, H. and Kaufmann, E. (1998). Selecting the optimal sample fraction in univariate extreme value estimation, Stochastic Processes and their Applications 75:149-172.
    • (1998) Stochastic Processes and Their Applications , vol.75 , pp. 149-172
    • Drees, H.1    Kaufmann, E.2
  • 7
    • 84972495814 scopus 로고
    • Hyperbolic distributions in finance
    • Eberlein, E. and Keller, U. (1995). Hyperbolic distributions in finance, Bernoulli 1:281-299.
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    • Eberlein, E.1    Keller, U.2
  • 9
    • 2542583870 scopus 로고    scopus 로고
    • Modelling dependence with copulas and applications to risk management
    • S. Rachev Ed., Elsevier
    • Embrechts, P., Lindskog, F. and McNeil, A. (2001). Modelling Dependence with Copulas and Applications to Risk Management, in S. Rachev (Ed.) Handbook of Heavy Tailed Distributions in Finance, Elsevier: 329-384.
    • (2001) Handbook of Heavy Tailed Distributions in Finance , pp. 329-384
    • Embrechts, P.1    Lindskog, F.2    McNeil, A.3
  • 10
    • 0002101229 scopus 로고    scopus 로고
    • Correlation and dependency in risk management: Properties and pitfalls
    • M. A. H. Dempster Ed., Cambridge University Press, Cambridge
    • Embrechts, P., McNeil, A. and Straumann, D. (1999). Correlation and Dependency in Risk Management: Properties and Pitfalls, in M. A. H. Dempster (Ed.) Risk Management: Value at Risk and Beyond, Cambridge University Press, Cambridge: 176-223.
    • (1999) Risk Management: Value at Risk and Beyond , pp. 176-223
    • Embrechts, P.1    McNeil, A.2    Straumann, D.3
  • 19
    • 84889955228 scopus 로고    scopus 로고
    • Measurement of aggregate risk with copulas, Research Center CAESAR Bonn, Dept. of Quantitative Finance
    • Junker, M. and May, A. (2002). Measurement of aggregate risk with copulas, Research Center CAESAR Bonn, Dept. of Quantitative Finance, Technical Report 2.
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    • Junker, M.1    May, A.2
  • 20
    • 77955272084 scopus 로고    scopus 로고
    • Sensitivity analysis of credit portfolio models
    • W. Härdle, T. Kleinow and G. Stahl Eds., Springer Verlag, New York
    • Kiesel, R. and Kleinow, T. (2002). Sensitivity analysis of credit portfolio models, in W. Härdle, T. Kleinow and G. Stahl (Eds.) Applied Quantitative Finance., Springer Verlag, New York.
    • (2002) Applied Quantitative Finance.
    • Kiesel, R.1    Kleinow, T.2
  • 21
    • 33746446858 scopus 로고    scopus 로고
    • Statistics for near independence in multivariate extreme values
    • Ledford, A. and Tawn, J. (1996). Statistics for Near Independence in Multivariate Extreme Values, Biometrika 83:169-187.
    • (1996) Biometrika , vol.83 , pp. 169-187
    • Ledford, A.1    Tawn, J.2
  • 23
    • 0346517735 scopus 로고    scopus 로고
    • Second order condition and extreme value theory
    • Thesis Publishers and Tinbergen Institute
    • Peng, L. (1998). Second Order Condition and Extreme Value Theory, Tinbergen Institute Research Series 178, Thesis Publishers and Tinbergen Institute.
    • (1998) Tinbergen Institute Research Series , vol.178
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  • 25
    • 85014395554 scopus 로고    scopus 로고
    • Credit risk modelling and estimation via elliptical copulae
    • G. Bohl, G. Nakhaeizadeh, S. T. Rachev, T. Ridder and K. H. Vollmer Eds., Physica Verlag, Heidelberg
    • Schmidt, R. (2002a). Credit Risk Modelling and Estimation via Elliptical Copulae, in G. Bohl, G. Nakhaeizadeh, S. T. Rachev, T. Ridder and K. H. Vollmer (Eds.) Credit Risk: Measurement, Evaluation and Management, Physica Verlag, Heidelberg.
    • (2002) Credit Risk: Measurement, Evaluation and Management
    • Schmidt, R.1
  • 26
    • 0036576115 scopus 로고    scopus 로고
    • Tail dependence for elliptically contoured distributions
    • Schmidt, R. (2002b). Tail Dependence for Elliptically Contoured Distributions, Math. Methods of Operations Research 55(2):301-327.
    • (2002) Math. Methods of Operations Research , vol.55 , Issue.2 , pp. 301-327
    • Schmidt, R.1
  • 28
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    • Schmidt, R. and Stadtmüller, U. (2002). Nonparametric Estimation of Tail Dependence, The London School of Economics, Department of Statistics, Research report 101, http://stats.lse.ac.uk/schmidt.
    • (2002) Nonparametric Estimation of Tail Dependence , pp. 101
    • Schmidt, R.1    Stadtmüller, U.2


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