An Analytic Method for Financial Extremal Events:Bivariate Pareto Copula and Zipf Time Series Model
碩士 === 臺灣大學 === 財務金融學研究所 === 95 === An analytic method for financial extremal events is presented in this paper. This method is based on Pareto distribution, copula theory, and a point process. This paper is divided into two parts: static analysis and dynamic application. In the static part, we expl...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2007
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| Online Access: | http://ndltd.ncl.edu.tw/handle/81748818159971104393 |