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

John Einmahl, J. Li and R.Y. Liu

No 2006-104, Discussion Paper from Tilburg University, Center for Economic Research

Keywords: Extreme value theory; extreme quantile; multiple risk indicators; multivariate quantile; rare event; statistics of extremes; threshold system (search for similar items in EconPapers)
Date: 2006
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Working Paper: Extreme Value Theory Approach to Simultaneous Monitoring and Thresholding of Multiple Risk Indicators (2006)
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