مرکز منطقه ای اطلاع رساني علوم و فناوري - Extremal financial risk models and portfolio evaluation

Title of article :

Extremal financial risk models and portfolio evaluation

Author/Authors :

Zhengjun Zhang، نويسنده , , James Huang، نويسنده ,

Issue Information :

روزنامه با شماره پیاپی سال 2006

Pages :

From page :

2313

To page :

2338

Keywords :

Tail dependence index , Financial risk , Portfolio evaluation , Extreme value theory , M4 processes , Markov chains

Journal title :

Computational Statistics and Data Analysis

Serial Year :

2006

Journal title :

Computational Statistics and Data Analysis

Record number :

145235

Link To Document :