Generalized elliptical model

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1、GeneralizedEllipticalDistributions:TheoryandApplicationsInauguraldissertationzurErlangungdesDoktorgradesderWirtschafts-undSozialwissenschaftlichenFakultätderUniversitätzuKöln2004vorgelegtvonDipl.-Kfm.GabrielFrahmausNaharia/IsraelReferent:Prof.Dr.F.SchmidKorreferent:Prof.Dr.K.MoslerTagde

2、rPromotion:2.Juli2004TomymotherMaiamunsingurdor:Înlinisteaserii¸Samùalùasaùtis¸amorùLamargineamarii;ùSa-miùÞesomnullinSicodrulaproape,¸Pe-ntinseleapeSaamuncersenin.ùNu-mitrebuießamuri,Nuvoisicriubogat,Ci-miîmpletitiunpat¸Dintinereramuri.Sinime-nurmamea¸Nu-miplângalacreùstet,¸Doartoamnag

3、lassadeaùFrunzisuluivested.¸PecândcuzgomotcadIzvoarele-ntr-una.AlunecelunaPrinvârfurilungidebrad.PatrunzùatalangaùAlseriirecevânt,Deasupra-miteiulsfântSa-ùsiscuturecreanga.¸M-ortroienicudragAduceriaminte.Luceferi,cerasarùDinumbradecetini,ùFiindu-miprieteni,Osa-mizâmbeascùaiar.ùVagemedep

4、atemiAlmariiasprucânt...ùCieuvoiÞpamântùInsinguratate-mi.ùMihaiEminescu(1850-1889)PrefaceIn1999Iwassearchingforanappropriatetopicregardingmydiplomathesis.MysupervisorprofessorFriedrichSchmidmadetheproposaltofocusonÞnancialriskmanagementapplyingunivariateextremevaluetheory.Thatwasreallya

5、pleasuresuchthatIhadanitchtoworkfurtheronpossibleapplicationsofextremevaluetheoryinthemultivariatecontext.Morethan2yearsafterthediplomamywishcametrueandIhavegotanappointmentattheCenterofAdvancedEuropeanStudiesandResearchinBonn.IwouldliketothankDr.AngelikaMayverymuchforthepossibilitytoco

6、mbinesuchanexcitingworkwithadoctoralthesis.Ofcourse,thereasonformyfascinationwasnotonlycausedbythesubjectmatterbutalsobythekindsupportofprofessorFriedrichSchmid.Iamverygratefulthathetookonan‘external’Ph.D.studentandIwouldliketothankhimonceagainforsupervisingme.InthesamemannerIwouldliket

7、othankprofessorKarlMoslerforhismanyconstructivesuggestionsandnicetalks.Iamindebtedtothemembersofcaesar’sÞnancialengineeringgroup.WiththebrillianthelpofmycolleagueDr.MarkusJunkerIhadthechancetoacquireimportantknowledgeoncomplexdependencestructuresinthetwinklingofaneye.Butparticu