Extreme Value Theory: the bivariate case and an application for assesing risks
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References listed on IDEAS
- James J. Heckman, 1976. "The Common Structure of Statistical Models of Truncation, Sample Selection and Limited Dependent Variables and a Simple Estimator for Such Models," NBER Chapters,in: Annals of Economic and Social Measurement, Volume 5, number 4, pages 475-492 National Bureau of Economic Research, Inc.
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KeywordsExtreme Value Theory; Biavariate Extreme Distributions; Univariate Extreme Distributions; Asses Risk; Multivariate Pareto Distribution;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2005-07-18 (All new papers)
- NEP-FIN-2005-07-18 (Finance)
- NEP-FMK-2005-07-18 (Financial Markets)
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