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Copula Modeling for Extremes
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Copula Modeling for Extremes (2014)Copula Modeling for ExtremesAsymptotics of empirical copula processes under non-restrictive smoothness assumptions (2012)Asymptotics of empirical copu…Copula goodness-of-fit testing: an overview and power comparison (2009)Copula goodness-of-fit testin…Testing for equality between two copulas (2008)Testing for equality between …Construction of asymmetric multivariate copulas (2008)Construction of asymmetric mu…The t Copula and Related Copulas (2007)The t Copula and Related Copu…Statistical Analysis of Extreme Values with Applications to Insurance, Finance, Hydrology and Other Fields (2007)Statistical Analysis of Extre…Goodness-of-fit tests for copulas: A review and a power study (2007)Goodness-of-fit tests for cop…Quantitative Risk Management: Concepts, Techniques, and Tools (2006)Quantitative Risk Management:…Statistics of Extremes (2004)Statistics of ExtremesExtreme Values in Finance, Telecommunications, and the Environment (2003)Extreme Values in Finance, Te…Extreme Value Distributions (2000)Extreme Value DistributionsUnderstanding Relationships Using Copulas (1998)Understanding Relationships U…A nonparametric estimation procedure for bivariate extreme value copulas (1997)A nonparametric estimation pr…A Semiparametric Estimation Procedure of Dependence Parameters in Multivariate Families of Distributions (1995)A Semiparametric Estimation P…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)Dependence Measures for Extreme Value Analyses (1999)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Limit theory for multivariate sample extremes (1977)Probabilistic Aspects of Multivariate Extremes (1984)The Asymptotic Theory of Extreme Order Statistics (1990)Extreme Correlation of International Equity Markets (2001)Copules archimédiennes et families de lois bidimensionnelles dont les marges sont données (1986)Pair-copula constructions of multiple dependence (2007)An Introduction to Copulas (1999)Copula Methods in Finance (2004)Everything You Always Wanted to Know about Copula Modeling but Were Afraid to Ask (2007)Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? (2010)A review of copula models for economic time series (2012)Probit transformation for nonparametric kernel estimation of the copula density (2017)Insurance: Mathematics and Economics (2004)Modeling Multivariate Distributions with Continuous Margins Using the copula R Package (2010)Copula Methods for Forecasting Multivariate Time Series (2013)The impact of heterogeneity in individual frailty on the dynamics of mortality (1979)A distribution-free approach to inducing rank correlation among input variables (1982)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Modelling of extremal events in insurance and finance (1994)Modelling Extremal Events (1997)Selecting and estimating regular vine copulae and application to financial returns (2012)Basel Committee On Banking Supervision (2010)A critical review on supply chain risk – Definition, measure and modeling (2014)Multivariate Archimax copulas (2014)The politics of attention: how government prioritizes problems (2006)Statistical Modeling of Spatial Extremes (2012)Power Laws in Economics and Finance (2009)Tail Risk and Asset Prices (2014)Understanding Heterogeneity in Clinical Cohorts Using Normative Models: Beyond Case-Control Studies (2016)
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References

  • 2006Quantitative Risk Management: Concepts, Techniques, and Tools2,014 cited
  • 2004Statistics of Extremes1,787 cited
  • 2000Extreme Value Distributions1,591 cited
  • 2007Goodness-of-fit tests for copulas: A review and a power study1,354 cited
  • 1998Understanding Relationships Using Copulas1,261 cited
  • 1995A Semiparametric Estimation Procedure of Dependence Parameters in Multivariate Families of Distributions1,227 cited
  • 2007The t Copula and Related Copulas974 cited
  • 1988Bivariate Extreme Value Theory: Models and Estimation569 cited
  • 1997A nonparametric estimation procedure for bivariate extreme value copulas292 cited
  • 2009Copula goodness-of-fit testing: an overview and power comparison270 cited
  • 1990Modelling Multivariate Extreme Value Distributions249 cited
  • 2008Construction of asymmetric multivariate copulas241 cited
  • 2012Asymptotics of empirical copula processes under non-restrictive smoothness assumptions235 cited
  • 2003Extreme Values in Finance, Telecommunications, and the Environment225 cited
  • 2007Statistical Analysis of Extreme Values with Applications to Insurance, Finance, Hydrology and Other Fields210 cited

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  • 2008Testing for equality between two copulas190 cited
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