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Extreme value copulas and max-stable processes
16 references·2 citing·26 second hop
Extreme value copulas and max-stable processes (2013)Extreme value copulas and max-stable proc…Statistical Modeling of Spatial Extremes (2012)Statistical Modeling of Spati…Likelihood-Based Inference for Max-Stable Processes (2010)Likelihood-Based Inference fo…Stationary max-stable fields associated to negative definite functions (2009)Stationary max-stable fields …The t Copula and Related Copulas (2007)The t Copula and Related Copu…Extreme value theory : an introduction (2006)Extreme value theory : an int…Copulas: Tales and facts (2006)Copulas: Tales and factsModelling Dependence with Copulas and Applications to Risk Management (2003)Modelling Dependence with Cop…A dependence measure for multivariate and spatial extreme values: Properties and inference (2003)A dependence measure for mult…Models for Stationary Max-Stable Random Fields (2002)Models for Stationary Max-Sta…A nonparametric estimation procedure for bivariate extreme value copulas (1997)A nonparametric estimation pr…Maxima of bivariate random vectors: Between independence and complete dependence (1994)Maxima of bivariate random ve…The Asymptotic Theory of Extreme Order Statistics (1990)The Asymptotic Theory of Extr…Bivariate Extreme Value Theory: Models and Estimation (1988)Bivariate Extreme Value Theor…A Spectral Representation for Max-stable Processes (1984)A Spectral Representation for…Limit theory for multivariate sample extremes (1977)Limit theory for multivariate…Extreme values of independent stochastic processes (1977)Extreme values of independent…Modeling the Dependency between Extreme Prices of Selected Agricultural Products on the Derivatives Market Using the Linkage Function (2019)Modeling the Dependency betwe…Asymmetric increasing trends in dependence in international equity markets (2014)Asymmetric increasing trends …Extreme Values, Regular Variation and Point Processes (1987)Modelling of extremal events in insurance and finance (1994)An Introduction to Copulas (1999)The Copula-GARCH model of conditional dependencies: An international stock market application (2006)Measuring financial contagion: A Copula approach (2007)Green bond and financial markets: Co-movement, diversification and price spillover effects (2018)STATISTICS FOR SPATIAL DATA (1992)Statistics for Spatial Data (1993)An Introduction to Statistical Modeling of Extreme Values (2001)Geostatistics of extremes (2011)Space–Time Modelling of Extreme Events (2013)A review of quantification methodologies for multi-hazard interrelationships (2019)Statistics for Spatial Data. (1993)Extreme events: dynamics, statistics and prediction (2011)Modelling Extremal Events (1997)A review of copula models for economic time series (2012)Selecting and estimating regular vine copulae and application to financial returns (2012)Extremal Theory for Stochastic Processes (1988)Statistical Methods for Multivariate Extremes: An Application to Structural Design (1994)Modelling Extreme Multivariate Events (1991)From value at risk to stress testing: The extreme value approach (2000)How Do Crises Spread? Evidence from Accessible and Inaccessible Stock Indices (2006)Extreme Correlation of International Equity Markets (2001)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Power-law distributions in empirical data (2018)
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208 cited

Cited by

  • 2019Modeling the Dependency between Extreme Prices of Selected Agricultural Products on the Derivatives Market Using the Linkage Function37 cited
  • 2014Asymmetric increasing trends in dependence in international equity markets26 cited