The copula approach to modelling multivariate extreme values
theory and examples with financial applications in view
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Date
2007
Publication Type
Doctoral Thesis
ETH Bibliography
yes
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published
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Examiner : Embrechts, Paul
Examiner : McNeil, Alexander J.
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ETH
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Subject
WAHRSCHEINLICHKEITSVERTEILUNGEN + WAHRSCHEINLICHKEITSDICHTEN (WAHRSCHEINLICHKEITSRECHNUNG); EXTREMWERTSTATISTIK (MATHEMATISCHE STATISTIK); MODELLIERUNG SPEZIFISCHER PROBLEME DER WIRTSCHAFT (OPERATIONS RESEARCH); STOCHASTISCHE MODELLE + STOCHASTISCHE SIMULATION (WAHRSCHEINLICHKEITSRECHNUNG); PROBABILITY DISTRIBUTIONS + PROBABILITY DENSITIES (PROBABILITY THEORY); EXTREME VALUE STATISTICS (MATHEMATICAL STATISTICS); MODELING OF SPECIFIC ASPECTS OF THE ECONOMY (OPERATIONS RESEARCH); STOCHASTIC MODELS + STOCHASTIC SIMULATION (PROBABILITY THEORY)
Organisational unit
03590 - McNeil, Alexander (ehemalig)
Notes
Diss., Mathematische Wissenschaften, Eidgenössische Technische Hochschule ETH Zürich, Nr. 17307, 2007.