Skip to main content
SpringerLink
Log in
Book cover

Statistical Tools for Finance and Insurance pp 45–64Cite as

Extreme Value Analysis and Copulas

  • Chapter

  • 1822 Accesses

This is a preview of subscription content, log in via an institution.

Chapter
USD   29.95
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
eBook
USD   109.00
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever

Tax calculation will be finalised at checkout

Purchases are for personal use only

Learn about institutional subscriptions

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

Bibliography

  • Dickey, D. and Fuller, W. (1979). Distribution of the estimators for autoregressive time series with a unit root, Journal of the American Statistical Association, 74: 427–431.

    Article  MathSciNet  Google Scholar 

  • Embrechts, P., Klüppelberg, C. and Mikosch, T. (1997). Modelling Extremal Events for Insurance and Finance, Springer.

    Google Scholar 

  • Franke, J., Härdle, W. and Hafner, C. (2004). Statistics of Financial Markets, Springer.

    Google Scholar 

  • Galambos, J. (1978). The Asymptotic Theory of Extreme Order Statistics, Krieger Publishing.

    Google Scholar 

  • Jondeau, E. and Rockinger, M. (2002). Conditional Dependency of Financial Series: The Copula-GARCH Model, FAME, working paper.

    Google Scholar 

  • Kiesel, R. and Kleinow, T. (2002). Sensitivity analysis of credit portfolio models, in W. Härdle, T. Kleinow, G. Stahl (eds.), Applied Quantitative Finance, Springer.

    Google Scholar 

  • Rank, J. and Siegl, T. (2002). Applications of Copulas for the Calculation of Value-at-Risk, in W. Härdle, T. Kleinow and G. Stahl (eds.), Applied Quantitative Finance, Springer.

    Google Scholar 

  • Reiss, R.-D. and Thomas, M. (2000). Extreme Value Analysis, in W. Härdle, S. Klinke and M. Müller (eds.), XploRe Learning Guide, Springer.

    Google Scholar 

  • Sklar, A. (1959). Fonctions de repartition à n dimensions et leurs marges, Publications de l'Institut de Statistique de l'Université de Paris, 8 (1959):229–231.

    MathSciNet  Google Scholar 

Download references

Authors
  1. Krzysztof Jajuga
    View author publications

    You can also search for this author in PubMed Google Scholar

  2. Daniel Papla
    View author publications

    You can also search for this author in PubMed Google Scholar

Rights and permissions

Reprints and permissions

Copyright information

© 2005 Springer-Verlag Berlin Heidelberg

About this chapter

Cite this chapter

Jajuga, K., Papla, D. (2005). Extreme Value Analysis and Copulas. In: Statistical Tools for Finance and Insurance. Springer, Berlin, Heidelberg. https://doi.org/10.1007/3-540-27395-6_2

Download citation

Publish with us

Policies and ethics

Search

Navigation