Multivariate tail estimation with application to analysis of covar
Contenido multimedia no disponible por derechos de autor o por acceso restringido. Contacte con la institución para más información.
| Tag | 1 | 2 | Valor |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20130033655 | ||
| 003 | MAP | ||
| 005 | 20131011110756.0 | ||
| 008 | 131010e20130708esp|||p |0|||b|spa d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a6 | ||
| 100 | 1 | $0MAPA20130014418$aNguyen, Tilo | |
| 245 | 1 | 0 | $aMultivariate tail estimation with application to analysis of covar$cTilo Nguyen, Gennady Samorodnitsky |
| 520 | $aThe quality of estimation of multivariate tails depends significantly on the portion of the sample included in the estimation. A simple approach involving sequential statistical testing is proposed in order to select which observations should be used for estimation of the tail and spectral measures. We prove that the estimator is consistent. We test the proposed method on simulated data, and subsequently apply it to analyze CoVaR for stock and index returns. | ||
| 773 | 0 | $wMAP20077000420$tAstin bulletin$dBelgium : ASTIN and AFIR Sections of the International Actuarial Association$x0515-0361$g08/07/2013 Volumen 43 Número 2 - julio 2013 |