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Multivariate tail estimation with application to analysis of covar

Recurso electrónico / electronic resource
Registro MARC
Tag12Valor
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001  MAP20130033655
003  MAP
005  20131011110756.0
008  131010e20130708esp|||p |0|||b|spa d
040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎6
1001 ‎$0‎MAPA20130014418‎$a‎Nguyen, Tilo
24510‎$a‎Multivariate tail estimation with application to analysis of covar‎$c‎Tilo Nguyen, Gennady Samorodnitsky
520  ‎$a‎The quality of estimation of multivariate tails depends significantly on the portion of the sample included in the estimation. A simple approach involving sequential statistical testing is proposed in order to select which observations should be used for estimation of the tail and spectral measures. We prove that the estimator is consistent. We test the proposed method on simulated data, and subsequently apply it to analyze CoVaR for stock and index returns.
7730 ‎$w‎MAP20077000420‎$t‎Astin bulletin‎$d‎Belgium : ASTIN and AFIR Sections of the International Actuarial Association‎$x‎0515-0361‎$g‎08/07/2013 Volumen 43 Número 2 - julio 2013