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Likelihood estimators for multivariate extremes
16 references·8 citing·24 second hop
Likelihood estimators for multivariate extremes (2015)Likelihood estimators for multivariate ex…Space–Time Modelling of Extreme Events (2013)Space–Time Modelling of Extre…Likelihood-Based Inference for Max-Stable Processes (2010)Likelihood-Based Inference fo…The t Copula and Related Copulas (2007)The t Copula and Related Copu…Statistics of Extremes: Theory and Applications (2004)Statistics of Extremes: Theor…Statistics of Extremes (2004)Statistics of ExtremesAn Introduction to Statistical Modeling of Extreme Values (2001)An Introduction to Statistica…An Introduction to Copulas (1999)An Introduction to CopulasA 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…Modelling Extreme Multivariate Events (1991)Modelling Extreme Multivariat…Models for Exceedances Over High Thresholds (1990)Models for Exceedances Over H…Maxima of normal random vectors: Between independence and complete dependence (1989)Maxima of normal random vecto…Extreme Value Analysis of Environmental Time Series: An Application to Trend Detection in Ground-Level Ozone (1989)Extreme Value Analysis of Env…Bivariate Extreme Value Theory: Models and Estimation (1988)Bivariate Extreme Value Theor…Extreme Values, Regular Variation and Point Processes (1987)Extreme Values, Regular Varia…Functional Peaks-Over-Threshold Analysis (2022)Functional Peaks-Over-Thresho…A Horse Race between the Block Maxima Method and the Peak–over–Threshold Approach (2021)A Horse Race between the Bloc…Forecasting the urban skyline with extreme value theory (2020)Forecasting the urban skyline…Dynamic Bivariate Peak Over Threshold Model for Joint Tail Risk Dynamics of Financial Markets (2020)Dynamic Bivariate Peak Over T…Local Likelihood Estimation of Complex Tail Dependence Structures, Applied to U.S. Precipitation Extremes (2019)Local Likelihood Estimation o…Representations of max-stable processes via exponential tilting (2017)Representations of max-stable…Multivariate peaks over thresholds models (2017)Multivariate peaks over thres…A continuous updating weighted least squares estimator of tail dependence in high dimensions (2017)A continuous updating weighte…The Asymptotic Theory of Extreme Order Statistics (1990)Extreme Correlation of International Equity Markets (2001)Analysis of Financial Time Series (2006)Modelling of extremal events in insurance and finance (1994)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)Idea Generation and the Quality of the Best Idea (2010)Quantitative Risk Management (2011)Top Incomes in the Long Run of History (2011)Statistical Modeling of Spatial Extremes (2012)Tail Risk and Asset Prices (2014)Understanding Heterogeneity in Clinical Cohorts Using Normative Models: Beyond Case-Control Studies (2016)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)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 Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications (2003)A Conditional Approach for Multivariate Extreme Values (with Discussion) (2004)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Introductory Econometrics for Finance (2008)Estimating the Tails of Loss Severity Distributions Using Extreme Value Theory (1997)Power Laws in Economics and Finance (2009)A multivariate copula‐based framework for dealing with hazard scenarios and failure probabilities (2016)
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  • 2013

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Space–Time Modelling of Extreme Events
209 cited

Cited by

  • 2017Multivariate peaks over thresholds models63 cited
  • 2022Functional Peaks-Over-Threshold Analysis43 cited
  • 2019Local Likelihood Estimation of Complex Tail Dependence Structures, Applied to U.S. Precipitation Extremes41 cited
  • 2017A continuous updating weighted least squares estimator of tail dependence in high dimensions38 cited
  • 2021A Horse Race between the Block Maxima Method and the Peak–over–Threshold Approach33 cited
  • 2017Representations of max-stable processes via exponential tilting31 cited
  • 2020Dynamic Bivariate Peak Over Threshold Model for Joint Tail Risk Dynamics of Financial Markets21 cited
  • 2020Forecasting the urban skyline with extreme value theory10 cited