Extremal financial risk models and portfolio evaluation

DOI10.1016/j.csda.2006.09.042zbMath1157.62528OpenAlexW2077813888MaRDI QIDQ1010574

Zhengjun Zhang, James Huang

Publication date: 6 April 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2006.09.042

zbMATH Keywords

Markov chainsextreme value theoryfinancial risktail dependence indexportfolio evaluationM4 processes

Mathematics Subject Classification ID

Related Items (8)

An extended sparse max-linear moving model with application to high-frequency financial data ⋮ Copula structured M4 processes with application to high-frequency financial data ⋮ Quotient correlation: a sample based alternative to Pearson's correlation ⋮ Intradaily dynamic portfolio selection ⋮ Asymptotically (in)dependent multivariate maxima of moving maxima process ⋮ Portfolio risk assessment using multivariate extreme value methods ⋮ Mark to market value at risk ⋮ Tail dependence between order statistics

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• A Conditional Approach for Multivariate Extreme Values (with Discussion)
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