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Cited by

• 2014Extreme Value Theory and Statistics of Univariate Extremes: A Review197 cited
• 2009Stochastic Behavioral Asset-Pricing Models and the Stylized Facts186 cited
• 2013A comprehensive review of Value at Risk methodologies177 cited
• 2003High volatility, thick tails and extreme value theory in value-at-risk estimation166 cited
• 2005A comparison of extreme value theory approaches for determining value at risk147 cited
• 2003Financial Risk and Heavy Tails131 cited
• 1998“Understanding Relationships Using Copulas,” by Edward Frees and Emiliano Valdez, January 1998115 cited
• 2002Market Fluctuations I: Scaling, Multiscaling, and Their Possible Origins114 cited
• 2005The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance104 cited
• 2014A two-step framework for over-threshold modelling of environmental extremes102 cited
• 2003Generalized Pareto Fit to the Society of Actuaries’ Large Claims Database91 cited
• 2000Portfolio selection with limited downside risk90 cited
• 2001Heavy-Tailed Distributions and Rating86 cited
• 2000Robust and Efficient Estimation of the Tail Index of a Single-Parameter Pareto Distribution82 cited