Open AccessThe modeling of extreme stochastic dependence using copulas and extreme value theory: case study from energy prices
Author(s) -
Ömer Önalan
Publication year - 2017
Publication title -
global journal of mathematical analysis
Language(s) - English
Resource type - Journals
ISSN - 2307-9002
DOI - 10.14419/gjma.v5i2.7256
Subject(s) - copula (linguistics) , extreme value theory , tail dependence , marginal distribution , econometrics , multivariate statistics , joint probability distribution , generalized extreme value distribution , mathematics , multivariate normal distribution , random variable , statistical physics , statistics , physics