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Heavy-Tailed Distributions: Data, Diagnostics, and New Developments
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Heavy-Tailed Distributions: Data, Diagnostics, and New Developments (2011)Heavy-Tailed Distributions: Data, Diagnos…Quantitative Risk Management (2011)Quantitative Risk ManagementThe black swan: the impact of the highly improbable (2007)The black swan: the impact of…Estimation of the extreme-value index and generalized quantile plots (2005)Estimation of the extreme-val…Handbook of Heavy Tailed Distributions in Finance (2003)Handbook of Heavy Tailed Dist…An Introduction to Statistical Modeling of Extreme Values (2001)An Introduction to Statistica…Estimating the Heavy Tail Index from Scaling Properties (1999)Estimating the Heavy Tail Ind…Chance and Stability (1999)Chance and StabilityThe variation of certain speculative prices (1997)The variation of certain spec…Modelling Extremal Events (1997)Modelling Extremal EventsOn the non-closure under convolution of the subexponential family (1989)On the non-closure under conv…The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Residual Life Time at Great Age (1974)A Moment Estimator for the Index of an Extreme-Value Distribution (1989)Models for Exceedances Over High Thresholds (1990)Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributions (2008)A simple generalisation of the Hill estimator (2012)Overview and Open Research Topics in Statistics of Univariate Extremes (2022)Coherent Measures of Risk (1999)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach (2012)Dynamic Conditional Correlation: On Properties and Estimation (2013)Developmental Evaluation: Applying Complexity Concepts to Enhance Innovation and Use (2010)Corporate tax avoidance and stock price crash risk: Firm-level analysis (2011)Why do humans reason? Arguments for an argumentative theory (2011)Idea Generation and the Quality of the Best Idea (2010)Top Incomes in the Long Run of History (2011)Analytic modeling of load balancing policies for tasks with heavy-tailed distributions (2000)Comparative analysis of scalar upper tail indicators (2020)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Empirical properties of asset returns: stylized facts and statistical issues (2001)Extreme Correlation of International Equity Markets (2001)Conditional value-at-risk for general loss distributions (2002)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Are output growth‐rate distributions fat‐tailed? some evidence from OECD countries (2008)Portfolio Performance Evaluation with Generalized Sharpe Ratios: Beyond the Mean and Variance (2008)On development of fractional calculus during the last fifty years (2013)Modelling oil price and exchange rate co-movements (2011)Is gold a safe haven or a hedge for the US dollar? Implications for risk management (2013)Is there dependence and systemic risk between oil and renewable energy stock prices? (2014)
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References

  • 2001An Introduction to Statistical Modeling of Extreme Values7,338 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1997Modelling Extremal Events4,397 cited
  • 2007The black swan: the impact of the highly improbable3,454 cited
  • 2011Quantitative Risk Management985 cited
  • 1999Chance and Stability483 cited
  • 2003Handbook of Heavy Tailed Distributions in Finance387 cited
  • 1999Estimating the Heavy Tail Index from Scaling Properties122 cited
  • 2005Estimation of the extreme-value index and generalized quantile plots72 cited
  • 1989On the non-closure under convolution of the subexponential family70 cited

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