SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
A Directory of Coefficients of Tail Dependence
14 references·16 citing·31 second hop
A Directory of Coefficients of Tail Dependence (2000)A Directory of Coefficients of Tail Depen…Multivariate Extreme Value Distributions (2000)Multivariate Extreme Value Di…Dependence Measures for Extreme Value Analyses (1999)Dependence Measures for Extre…An Introduction to Copulas (1999)An Introduction to CopulasSea and Wind: Multivariate Extremes at Work (1998)Sea and Wind: Multivariate Ex…Markov chain models for threshold exceedances (1997)Markov chain models for thres…A nonparametric estimation procedure for bivariate extreme value copulas (1997)A nonparametric estimation pr…Statistics for near independence in multivariate extreme values (1996)Statistics for near independe…Statistical methods for multivariate extremes: an application to structural design. (1994)Statistical methods for multi…Statistical Methods for Multivariate Extremes: An Application to Structural Design (1994)Statistical Methods for Multi…Modelling Extreme Multivariate Events (1991)Modelling Extreme Multivariat…Modelling Multivariate Extreme Value Distributions (1990)Modelling Multivariate Extrem…Bivariate Extreme Value Theory: Models and Estimation (1988)Bivariate Extreme Value Theor…Extreme Values, Regular Variation and Point Processes (1987)Extreme Values, Regular Varia…Limit theory for multivariate sample extremes (1977)Limit theory for multivariate…Modeling the global sovereign credit network under climate change (2023)Modeling the global sovereign…A review of quantification methodologies for multi-hazard interrelationships (2019)A review of quantification me…Modelling Across Extremal Dependence Classes (2016)Modelling Across Extremal Dep…Conditional quantiles and tail dependence (2015)Conditional quantiles and tai…Extremal dependence measure and extremogram: the regularly varying case (2011)Extremal dependence measure a…Tails of correlation mixtures of elliptical copulas (2010)Tails of correlation mixtures…Copula-Based Measures of Multivariate Association (2010)Copula-Based Measures of Mult…A New Class of Models for Bivariate Joint Tails (2008)A New Class of Models for Biv…Copulas: A Review and Recent Developments (2006)Copulas: A Review and Recent …Hidden regular variation and the rank transform (2005)Hidden regular variation and …Empirical estimation of tail dependence using copulas: application to Asian markets (2005)Empirical estimation of tail …The Extremal Dependence Measure and Asymptotic Independence (2004)The Extremal Dependence Measu…Characterizations and Examples of Hidden Regular Variation (2004)Characterizations and Example…Tail Dependence from a Distributional Point of View (2003)Tail Dependence from a Distri…Diagnostics for Dependence within Time Series Extremes (2003)Diagnostics for Dependence wi…Comparative Analyses of Expected Shortfall and Value-at-Risk (3): Their Validity under Market Stress (2002)Comparative Analyses of Expec…Models for Exceedances Over High Thresholds (1990)Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications (2003)A Conditional Approach for Multivariate Extreme Values (with Discussion) (2004)Forecast Verification (2011)A Semiparametric Estimation Procedure of Dependence Parameters in Multivariate Families of Distributions (1995)Modelling Time-Varying Exchange Rate Dependence Using the Conditional Copula (2001)Extreme-Value Copulas (2010)Statistics of Extremes (2015)The Asymptotic Theory of Extreme Order Statistics (1990)From value at risk to stress testing: The extreme value approach (2000)How Do Crises Spread? Evidence from Accessible and Inaccessible Stock Indices (2006)MODELING THE CHOICE OF RESIDENTIAL LOCATION (1978)Modelling Dependence within Joint Tail Regions (1997)Copulas for Finance - A Reading Guide and Some Applications (2007)Correlation and Simple Linear Regression (2003)Everything You Always Wanted to Know about Copula Modeling but Were Afraid to Ask (2007)Managing the Risks of Extreme Events and Disasters to Advance Climate Change Adaptation (2012)A multi-hazard framework for spatial-temporal impact analysis (2022)The challenges of dynamic vulnerability and how to assess it (2022)Toward a framework for systemic multi-hazard and multi-risk assessment and management (2023)Extreme values of independent stochastic processes (1977)Extremal Theory for Stochastic Processes (1988)Modelling of extremal events in insurance and finance (1994)Extreme Correlation of International Equity Markets (2001)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Statistical Modeling of Spatial Extremes (2012)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Introductory Econometrics for Finance (2008)Bivariate Threshold Methods for Extremes (1992)Jump tails, extreme dependencies, and the distribution of stock returns (2012)
this work references cited by second hop

References

  • 1999An Introduction to Copulas7,743 cited
  • 1987Extreme Values, Regular Variation and Point Processes3,165 cited
  • 1999Dependence Measures for Extreme Value Analyses802 cited
  • 1996Statistics for near independence in multivariate extreme values742 cited
  • 1988Bivariate Extreme Value Theory: Models and Estimation569 cited
  • 1991Modelling Extreme Multivariate Events529 cited
  • 1977Limit theory for multivariate sample extremes360 cited
  • 1997A nonparametric estimation procedure for bivariate extreme value copulas292 cited
  • 2000Multivariate Extreme Value Distributions282 cited
  • 1994Statistical Methods for Multivariate Extremes: An Application to Structural Design278 cited
  • 1990Modelling Multivariate Extreme Value Distributions249 cited
  • 1994Statistical methods for multivariate extremes: an application to structural design.224 cited
  • 1998Sea and Wind: Multivariate Extremes at Work219 cited
  • 1997Markov chain models for threshold exceedances200 cited

Cited by

  • 2019A review of quantification methodologies for multi-hazard interrelationships363 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

2003
Diagnostics for Dependence within Time Series Extremes
140 cited
  • 2004Characterizations and Examples of Hidden Regular Variation104 cited
  • 2006Copulas: A Review and Recent Developments99 cited
  • 2010Copula-Based Measures of Multivariate Association96 cited
  • 2008A New Class of Models for Bivariate Joint Tails90 cited
  • 2003Tail Dependence from a Distributional Point of View85 cited
  • 2005Empirical estimation of tail dependence using copulas: application to Asian markets80 cited
  • 2016Modelling Across Extremal Dependence Classes76 cited
  • 2015Conditional quantiles and tail dependence74 cited
  • 2002Comparative Analyses of Expected Shortfall and Value-at-Risk (3): Their Validity under Market Stress50 cited
  • 2005Hidden regular variation and the rank transform50 cited
  • 2010Tails of correlation mixtures of elliptical copulas48 cited
  • 2023Modeling the global sovereign credit network under climate change47 cited
  • 2004The Extremal Dependence Measure and Asymptotic Independence47 cited
  • 2011Extremal dependence measure and extremogram: the regularly varying case46 cited