On Constructing Extreme Value Copulas and Applications

来源 :中国数量经济学会 | 被引量 : 0次 | 上传用户：yyjay1315

【摘要】

：

【作者】

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Zhengjun Zhang

【机构】

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University of Wisconsin at Madison

【出处】

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中国数量经济学会

【发表日期】

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2009年12期

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　　Extreme value theory is a natural choice in risk study.A current area of interest is to find a class of models which have the ability to simultaneously model extremal cross-sectional (spatial) dependence and temporal dependence.Theoretically,neither univariate extreme value distributions nor multivariate extreme value distributions are in that class.This talk introduces a family of sectional multivariate extreme value copula (SMEVC) functions which is derived from the joint distribution functions of a class of max-stable processes.

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On Constructing Extreme Value Copulas and Applications

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