The copula approach to modelling multivariate extreme values

theory and examples with financial applications in view
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Author
Demarta, Stefano
Date
2007
Type
    Doctoral Thesis
Rights / license
In Copyright - Non-Commercial Use Permitted
Permanent link
https://doi.org/10.3929/ethz-a-005479251
Publication status
published
External links
Search print copy at ETH Library
Contributors
Examiner: Embrechts, Paul
Examiner: McNeil, Alexander J.
Publisher
ETH
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
Notes
Diss., Mathematische Wissenschaften, Eidgenössische Technische Hochschule ETH Zürich, Nr. 17307, 2007.
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