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CNKI期刊论文0611(6)
知网期刊论文(358)
在“
Elsevier电子期刊
”中,
命中:
51
条,耗时:0.1339359 秒
在所有数据库中总计命中:
1,553
条
1.
An offspring of
multivariate
extreme
value
theory
: The max-characteristic function
作者:
Michael Falk
a
;
michael.falk@uni-wuerzburg.de
;
Gilles Stupfler
b
;
Gilles.Stupfler@nottingham.ac.uk
关键词:
primary
;
60E10
;
secondary
;
60F99
;
60G70
刊名:Journal of
Multivariate
Analysis
出版年:2017
2.
Multivariate
nonparametric estimation of the Pickands dependence function using Bernstein polynomials
作者:
G. Marcon
a
;
giulia.marcon@unipv.it
;
S.A. Padoan
b
;
simone.padoan@unibocconi.it
;
P. Naveau
c
;
naveau@lsce.ipsl.fr
;
P. Muliere
b
;
pietro.muliere@unibocconi.it
;
J. Segers
d
;
Johan.Segers@uclouvain.be
关键词:
Bernstein polynomials
;
Extremal dependence
;
Extreme
-
value
copula
;
Heavy rainfall
;
Nonparametric estimation
;
Multivariate
max-stable distribution
;
Pickands dependence function
刊名:Journal of Statistical Planning and Inference
出版年:2017
3.
Estimating the conditional
extreme
-
value
index under random right-censoring
作者:
Gilles Stupfler
;
gilles.stupfler@univ-amu.fr" class="auth_mail" title="E-mail the corresponding author
关键词:
62G05
;
62G20
;
62G30
;
62G32
;
62N01
;
62N02
刊名:Journal of
Multivariate
Analysis
出版年:2016
4.
Energy portfolio risk management using time-varying
extreme
value
copula methods
作者:
Ahmed Ghorbel
a
;
ahmed_isg@yahoo.fr" class="auth_mail
;
Abdelwahed Trabelsi
b
;
abdel.trabelsi@gmail.com" class="auth_mail
关键词:
FIGARCH
;
Copulas
;
Extreme
value
theory
;
Value
-at-Risk
;
Energy portfolio
;
Oil and gas futures prices
刊名:Economic Modelling
出版年:February, 2014
5.
Assessing probabilistic wind load effects via a
multivariate
extreme
wind speed model: A unified framework to consider directionality and uncertainty
作者:
Xinxin Zhang
zhang.xinxin@ttu.edu" class="auth_mail" title="E-mail the corresponding author
;
Xinzhong Chen
;
xinzhong.chen@ttu.edu" class="auth_mail" title="E-mail the corresponding author
关键词:
Multivariate
extreme
wind speed distribution
;
Gaussian copula
;
Extreme
wind load effect
;
Directionality
;
Mean recurrence intervals
;
Reliability
刊名:Journal of Wind Engineering and Industrial Aerodynamics
出版年:2015
6.
Estimating the basis risk of index-linked hedging strategies using
multivariate
extreme
value
theory
作者:
Ralf Kellner
;
Nadine Gatzert
关键词:
Extreme
value
theory
;
Index-linked hedging instruments
;
Copulas
刊名:Journal of Banking and Finance
出版年:2013
7.
Measuring systemic importance of financial institutions: An
extreme
value
theory
approach
作者:
Toni Gravelle
;
Fuchun Li
;
fuchunli@bank-banque-canada.ca
关键词:
Systemic risk
;
Systemic importance of Financial Institutions
;
Extreme
value
theory
approach
刊名:Journal of Banking and Finance
出版年:2013
8.
Semi-nonparametric VaR forecasts for hedge funds during the recent crisis
作者:
Esther B. Del Brio
a
;
André
;
s Mora-Valencia
b
;
Javier Perote
c
;
perote@usal.es" class="auth_mail
关键词:
Hedge funds
;
Value
-at-risk
;
Backtesting
;
Extreme
value
theory
;
Gram&ndash
;
Charlier series
;
Copulas
刊名:Physica A
出版年:1 May, 2014
9.
Early warning systems for currency crises: A?
multivariate
extreme
value
approach
作者:
Phornchanok Cumperayot
a
;
phornchanok.c@chula.ac.th
;
Roy Kouwenberg
b
;
c
;
roy.kou@mahidol.ac.th
;
kouwenberg@ese.eur.nl
关键词:
Currency crises
;
Crisis prediction
;
Extreme
value
theory
;
Emerging markets
刊名:Journal of International Money and Finance
出版年:2013
10.
Nonparametric
multivariate
weather generator and an
extreme
value
theory
for bandwidth selection
作者:
Taesam Lee
;
Taha B.M.J. Ouarda
;
Changsam Jeong
关键词:
Nonparametric weather generator
;
Extreme
value
theory
;
Bandwidth selection
;
k-nearest neighbor
;
Genetic algorithm
;
Gamma kernel density estimation
刊名:Journal of Hydrology
出版年:2012
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