Bükre YILDIRIM KÜLEKCİ, Uğur KARABEY, Sevtap SELCUK-KESTEL

Assessment of dependent risk using extreme value theory in a time-varying framework

Assessment of dependent risk using extreme value theory in a time-varying framework

Hacettepe Journal of Mathematics and Statistics

2023-Cilt: 52 - Sayı: 1

248-267

Extreme value theory, risk measures, copula, backtesting, ruin probability

Extreme value theory, risk measures, copula, backtesting, ruin probability

24614