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dc.contributor.author
Embrechts, Paul
dc.date.accessioned
2017-06-12T07:37:47Z
dc.date.available
2017-06-12T07:37:47Z
dc.date.issued
2009
dc.identifier.issn
1479-8417
dc.identifier.issn
1479-8409
dc.identifier.other
10.1093/jjfinec/nbn015
dc.identifier.uri
http://hdl.handle.net/20.500.11850/117442
dc.language.iso
en
dc.publisher
Oxford University Press
dc.subject
Copulas
dc.subject
Credit risk
dc.subject
Dependence modeling
dc.subject
Extreme value theory
dc.subject
Linear correlation
dc.subject
Subprime crisis
dc.subject
Quantitative risk management
dc.subject
Value-at-risk
dc.title
Linear Correlation and EVT: Properties and Caveats
dc.type
Journal Article
ethz.journal.title
Journal of Financial Econometrics
ethz.journal.volume
7
ethz.journal.issue
1
ethz.journal.abbreviated
J. financ. econom.
ethz.pages.start
30
ethz.pages.end
39
ethz.notes
.
ethz.identifier.wos
ethz.identifier.nebis
005959182
ethz.publication.place
Oxford
ethz.publication.status
published
ethz.date.deposited
2017-06-12T07:43:28Z
ethz.source
ECIT
ethz.identifier.importid
imp593654792eea528710
ethz.ecitpid
pub:179349
ethz.eth
yes
ethz.availability
Metadata only
ethz.rosetta.installDate
2017-07-18T18:33:14Z
ethz.rosetta.lastUpdated
2019-02-02T07:25:00Z
ethz.rosetta.versionExported
true
ethz.COinS
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