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Estimating return levels from serially dependent extremes
16 references·2 citing·33 second hop
Estimating return levels from serially dependent extremes (2012)Estimating return levels from serially de…Threshold modelling of spatially dependent non‐stationary extremes with application to hurricane‐induced wave heights (2011)Threshold modelling of spatia…Likelihood estimation of the extremal index (2007)Likelihood estimation of the …Improved estimation for temporally clustered extremes (2006)Improved estimation for tempo…Inference for Clusters of Extreme Values (2003)Inference for Clusters of Ext…An Introduction to Statistical Modeling of Extreme Values (2001)An Introduction to Statistica…Multivariate Extreme Value Distributions (2000)Multivariate Extreme Value Di…A Comparison of Methods for Estimating the Extremal Index (2000)A Comparison of Methods for E…Dependence Measures for Extreme Value Analyses (1999)Dependence Measures for Extre…Multivariate extreme value distributions (1997)Multivariate extreme value di…Markov chain models for threshold exceedances (1997)Markov chain models for thres…Estimating the Extremal Index (1994)Estimating the Extremal IndexThe extremal index for a Markov chain (1992)The extremal index for a Mark…Modelling Extreme Multivariate Events (1991)Modelling Extreme Multivariat…Models for Exceedances Over High Thresholds (1990)Models for Exceedances Over H…On the exceedance point process for a stationary sequence (1988)On the exceedance point proce…Extremal Theory for Stochastic Processes (1988)Extremal Theory for Stochasti…An efficient semiparametric maxima estimator of the extremal index (2015)An efficient semiparametric m…Improved threshold diagnostic plots for extreme value analyses (2014)Improved threshold diagnostic…Extreme Values, Regular Variation and Point Processes (1987)The Asymptotic Theory of Extreme Order Statistics (1990)Extreme Correlation of International Equity Markets (2001)Analysis of Financial Time Series (2006)The t Copula and Related Copulas (2007)An Introduction to Copulas (1999)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)On extreme values in stationary sequences (1974)Extremes and local dependence in stationary sequences (1983)On a basis for ‘Peaks over Threshold’ modeling (1991)Regularly varying multivariate time series (2008)Limit theory for multivariate sample extremes (1977)The sample autocorrelations of heavy-tailed processes with applications to ARCH (1998)Asymptotics of empirical copula processes under non-restrictive smoothness assumptions (2012)Applied Probability and Queues (1987)Multivariate generalized Pareto distributions (2006)Extreme events: dynamics, statistics and prediction (2011)Statistics of Extremes (2015)From value at risk to stress testing: The extreme value approach (2000)The Modelling of Operational Risk: Experience with the Analysis of the Data Collected by the Basel Committee (2004)Estimating value-at-risk: a point process approach (2005)MODELING THE CHOICE OF RESIDENTIAL LOCATION (1978)Modelling Dependence within Joint Tail Regions (1997)Copulas for Finance - A Reading Guide and Some Applications (2007)A Moment Estimator for the Index of an Extreme-Value Distribution (1989)Diagnostics for Dependence within Time Series Extremes (2003)Idea Generation and the Quality of the Best Idea (2010)Quantitative Risk Management (2011)Top Incomes in the Long Run of History (2011)Bivariate Threshold Methods for Extremes (1992)Jump tails, extreme dependencies, and the distribution of stock returns (2012)
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References

  • 2001An Introduction to Statistical Modeling of Extreme Values7,338 cited
  • 1990Models for Exceedances Over High Thresholds1,725 cited
  • 1999Dependence Measures for Extreme Value Analyses802 cited
  • 1991Modelling Extreme Multivariate Events529 cited
  • 2003Inference for Clusters of Extreme Values454 cited
  • 1988Extremal Theory for Stochastic Processes282 cited
  • 2000Multivariate Extreme Value Distributions282 cited
  • 1994Estimating the Extremal Index269 cited
  • 1988On the exceedance point process for a stationary sequence240 cited
  • 1997Markov chain models for threshold exceedances200 cited
  • 2007Likelihood estimation of the extremal index147 cited
  • 2011Threshold modelling of spatially dependent non‐stationary extremes with application to hurricane‐induced wave heights118 cited
  • 1992The extremal index for a Markov chain115 cited
  • 2006Improved estimation for temporally clustered extremes106 cited
  • 1997Multivariate extreme value distributions95 cited
  • 2000A Comparison of Methods for Estimating the Extremal Index

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  • 2014Improved threshold diagnostic plots for extreme value analyses50 cited
  • 2015An efficient semiparametric maxima estimator of the extremal index43 cited