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Extreme Value Theory Approach to Simultaneous Monitoring and Thresholding of Multiple Risk Indicators

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  • Einmahl, J.H.J.

    (Tilburg University, Center For Economic Research)

  • Li, J.
  • Liu, R.Y.

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Suggested Citation

  • Einmahl, J.H.J. & Li, J. & Liu, R.Y., 2006. "Extreme Value Theory Approach to Simultaneous Monitoring and Thresholding of Multiple Risk Indicators," Discussion Paper 2006-104, Tilburg University, Center for Economic Research.
    • Handle: RePEc:tiu:tiucen:4e0aab6a-b885-4a21-a898-2991026da5c5
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    References listed on IDEAS

    as
    1. Einmahl, J.H.J. & de Haan, L.F.M. & Li, D., 2006. "Weighted approximations of tail copula processes with applications to testing the bivariate extreme value condition," Other publications TiSEM 18b65ac3-ba79-4bff-ad53-2, Tilburg University, School of Economics and Management.
    2. Einmahl, J. H.J. & Dekkers, A. L.M. & de Haan, L., 1989. "A moment estimator for the index of an extreme-value distribution," Other publications TiSEM 81970cb3-5b7a-4cad-9bf6-2, Tilburg University, School of Economics and Management.
    3. Dehaan, L. & Huang, X., 1995. "Large Quantile Estimation in a Multivariate Setting," Journal of Multivariate Analysis, Elsevier, vol. 53(2), pages 247-263, May.
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