Stress-Testing for Portfolios of Commodity Futures with Extreme Value Theory and Copula Functions

2016 ◽  
pp. 17-22
Author(s):  
Pierre-Antoine Mudry ◽  
Florentina Paraschiv
Keyword(s):  
Extreme Value Theory ◽  
Stress Testing ◽  
Value Theory ◽  
Extreme Value ◽  
Commodity Futures ◽  
Copula Functions

Extreme Value Theory and Archimedean Copulas

2004 ◽  
Vol 2004 (3) ◽  
pp. 211-228 ◽  
Author(s):  
Mario V. Wüthrich
Keyword(s):  
Extreme Value Theory ◽  
Value Theory ◽  
Extreme Value ◽  
Archimedean Copulas

Extreme Value Theory and Dependence.

1985 ◽  
Author(s):  
M. R. Leadbetter
Keyword(s):  
Extreme Value Theory ◽  
Value Theory ◽  
Extreme Value

Efficient filtering of financial time series and extreme value theory

2005 ◽  
Vol 7 (2) ◽  
pp. 63-84 ◽  
Author(s):  
Kaj Nyström ◽  
Jimmy Skoglund
Keyword(s):  
Time Series ◽  
Extreme Value Theory ◽  
Financial Time Series ◽  
Value Theory ◽  
Extreme Value ◽  
Financial Time
Sign in / Sign up

Export Citation Format

Share Document