Statistics of Multivariate Extremes with Applications in Risk Management
von Dr. Rodrigo Herrera
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| [1.] Rh/Fragment 180 09 - Diskussion Zuletzt bearbeitet: 2012-07-31 16:07:17 WiseWoman | Bojan 2000, Fragment, Gesichtet, Rh, SMWFragment, Schutzlevel sysop, Verschleierung |
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| In practice one is often confronted with multivariate problems on a variety of stock or bond indices, or, perhaps the same assets in different markets. A multivariate concept of regular variation then will be needed. However, the extension of a mathematical notion from the one dimensional to the higher dimensional case often leads to a great variety of different approximations. The great majority of the results to be presented is known and can be found in Bingham et al. (1987); [...] | In practice one is often confronted with multivariate data: on a particular day not only one but a variety of stock indices is reported, or, perhaps the price of the stock is determined in different markets. A multivariate concept of regular variation will be needed. However, the extension of a mathematical notion from
[Page 24] the one-dimensional to the higher-dimensional case often leads to a great variety of different notions. [...] The great majority of the results to be presented is known and can be found in Bingham et al. [7] [...] |
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