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Homogeneous distributions—And a spectral representation of classical mean values and stable tail dependence functions
6 references·3 citing·29 second hop
Homogeneous distributions—And a spectral representation of classical mean values and stable tail dependence functions (2013)Homogeneous distributions—And a spectral …Multivariate Archimax copulas (2014)Multivariate Archimax copulasStatistics of Extremes: Theory and Applications (2005)Statistics of Extremes: Theor…Statistics of Extremes: Theory and Applications (2004)Statistics of Extremes: Theor…A characterization of gumbel's family of extreme value distributions (1989)A characterization of gumbel'…Extreme Values, Regular Variation and Point Processes (1987)Extreme Values, Regular Varia…Limit theory for multivariate sample extremes (1977)Limit theory for multivariate…Outer power transformations of hierarchical Archimedean copulas: Construction, sampling and estimation (2020)Outer power transformations o…An estimator of the stable tail dependence function based on the empirical beta copula (2018)An estimator of the stable ta…Max-stable random sup-measures with comonotonic tail dependence (2016)Max-stable random sup-measure…Extremal Processes (1964)The structure of extremal processes (1973)Max-infinite divisibility (1977)Bivariate Extreme Value Theory: Models and Estimation (1988)Statistics for near independence in multivariate extreme values (1996)A Conditional Approach for Multivariate Extreme Values (with Discussion) (2004)An Introduction to Copulas (1999)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Financial Engineering with Copulas Explained (2014)Extremal dependence of random scale constructions (2019)Copulae: An overview and recent developments (2021)Copules archimédiennes et families de lois bidimensionnelles dont les marges sont données (1986)Extremal Theory for Stochastic Processes (1988)The Asymptotic Theory of Extreme Order Statistics (1990)Statistical Inference Procedures for Bivariate Archimedean Copulas (1993)Understanding Relationships Using Copulas (1998)Stochastic Finance: An Introduction in Discrete Time (2002)Statistics of Extremes (2004)Extreme Value Theory : An Introduction (2006)Extreme Value Theory (2006)Techniques for Verifying the Accuracy of Risk Measurement Models (1995)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)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)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)Power Laws in Economics and Finance (2008)
this work references cited by second hop

References

  • 1987Extreme Values, Regular Variation and Point Processes3,165 cited
  • 2004Statistics of Extremes: Theory and Applications1,093 cited
  • 2014Multivariate Archimax copulas938 cited
  • 2005Statistics of Extremes: Theory and Applications548 cited
  • 1977Limit theory for multivariate sample extremes367 cited
  • 1989A characterization of gumbel's family of extreme value distributions139 cited

Cited by

  • 2016Max-stable random sup-measures with comonotonic tail dependence25 cited
  • 2020Outer power transformations of hierarchical Archimedean copulas: Construction, sampling and estimation19 cited
  • 2018An estimator of the stable tail dependence function based on the empirical beta copula18 cited

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