Browsing Mathematics (Faculty of) by Author "Ji, Liuyan"
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Tail Dependence and Heavy Tailedness in Extreme Risks
Ji, Liuyan (University of Waterloo, 2020-12-18)Much empirical work has shown that asset returns, exchange rates, operational risks, large insurance claims exhibit heavy tailedness. Dependence also widely exists among these risks. An example of the impact of dependence ...