Assessment of dependent risk using extreme value theory in a time-varying framework

DOI10.15672/hujms.992699OpenAlexW4320919878MaRDI QIDQ5886714

Bükre Yıldırım Külekci, Unnamed Author, Uǧur Karabey

Publication date: 6 April 2023

Published in: Hacettepe Journal of Mathematics and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.15672/hujms.992699

zbMATH Keywords

copularuin probabilityextreme value theoryrisk measuresbacktesting

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Extreme value theory; extremal stochastic processes (60G70)

Uses Software

• StFinMetrics

Cites Work

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