Voltar
Artigo Revisado por pares
BIBTEX RIS

Multivariate Extreme Value Distributions and Coverage of Ranking Probabilities

2001; Elsevier BV; Volume: 45; Issue: 1 Linguagem: Inglês

10.1006/jmps.1999.1294

ISSN

1096-0880

Autores

Harry Joe,

Tópico(s)

Financial Risk and Volatility Modeling

Resumo

The main result in this paper is that the class of multivariate extreme value distributions, when used as random utility models, can approximate all ranking probability distributions. This extends Theorem 1 of Dagsvik (1995).

Referência(s)