Open AccessEstimation and Performance Analysis of Risk Measures using Copula and Extreme Value Theory
Author(s) -
Sung Chil Yeo
Publication year - 2006
Publication title -
korean journal of applied statistics
Language(s) - English
Resource type - Journals
eISSN - 2383-5818
pISSN - 1225-066X
DOI - 10.5351/kjas.2006.19.3.481
Subject(s) - copula (linguistics) , extreme value theory , value at risk , econometrics , univariate , modern portfolio theory , multivariate statistics , portfolio , covariance , risk management , statistics , mathematics , economics , financial economics , finance
Accelerating Research
Robert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom
Address
John Eccles HouseRobert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom