Open AccessModelling the Dependence Structure of Financial Assets: A Bivariate Extreme Data Study
Author(s) -
Retno Budiarti,
Aji Hamim Wigena,
I Gusti Putu Purnaba,
Noer Azam Achsani
Publication year - 2018
Publication title -
iop conference series. earth and environmental science
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.179
H-Index - 26
eISSN - 1755-1307
pISSN - 1755-1315
DOI - 10.1088/1755-1315/187/1/012003
Subject(s) - copula (linguistics) , bivariate analysis , tail dependence , econometrics , extreme value theory , joint probability distribution , generalized extreme value distribution , portfolio , economics , mathematics , statistics , multivariate statistics , financial economics