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Second-order refined peaks-over-threshold modelling for heavy-tailed distributions
16 references·1 citing·33 second hop
Second-order refined peaks-over-threshold modelling for heavy-tailed distributions (2009)Second-order refined peaks-over-threshold…Extreme Value Theory: An Introduction (2007)Extreme Value Theory: An Intr…Extreme value theory : an introduction (2006)Extreme value theory : an int…Statistics of Extremes: Theory and Applications (2005)Statistics of Extremes: Theor…Modeling actuarial data with a composite lognormal-Pareto model (2005)Modeling actuarial data with …Statistics of Extremes: Theory and Applications (2004)Statistics of Extremes: Theor…On maximum likelihood estimation of the extreme value index (2004)On maximum likelihood estimat…A Dynamic Mixture Model for Unsupervised Tail Estimation without Threshold Selection (2002)A Dynamic Mixture Model for U…“Asymptotically Unbiased” Estimators of the Tail Index Based on External Estimation of the Second Order Parameter (2002)“Asymptotically Unbiased” Est…Alternatives to a Semi-Parametric Estimator of Parameters of Rare Events—The Jackknife Methodology* (2000)Alternatives to a Semi-Parame…Tail Index Estimation and an Exponential Regression Model (1999)Tail Index Estimation and an …Estimating a tail exponent by modelling departure from a Pareto distribution (1999)Estimating a tail exponent by…Asymptotically unbiased estimators for the extreme-value index (1998)Asymptotically unbiased estim…Models for Exceedances Over High Thresholds (1990)Models for Exceedances Over H…Estimating Tails of Probability Distributions (1987)Estimating Tails of Probabili…On Some Simple Estimates of an Exponent of Regular Variation (1982)On Some Simple Estimates of a…Residual Life Time at Great Age (1974)Residual Life Time at Great A…Tail fitting for truncated and non-truncated Pareto-type distributions (2016)Tail fitting for truncated an…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)Human Behavior and the Principle of Least Effort: An Introduction to Human Ecology. (1949)Human behavior and the principle of least effort: An introduction to human ecology. By George Kingsley Zipf. Pp. xi, 573. Cambridge, Mass.: Addison-Wesley Press, 1949. (1950)Extreme Value Analysis of Environmental Time Series: An Application to Trend Detection in Ground-Level Ozone (1989)Rank-1/2: A Simple Way to Improve the OLS Estimation of Tail Exponents (2006)Extreme Value Theory and Statistics of Univariate Extremes: A Review (2014)Modelling of extremal events in insurance and finance (1994)Modelling Extremal Events (1997)How to make a Hill plot (2000)Statistics of Extremes (2015)Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets (1994)Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation (2001)Rank − 1 / 2: A Simple Way to Improve the OLS Estimation of Tail Exponents (2009)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)Quantitative models for operational risk: Extremes, dependence and aggregation (2006)On the tails of extreme event distributions in hydrology (2008)Power Laws in Economics and Finance (2008)On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective (1989)Extreme value theory and Value-at-Risk: Relative performance in emerging markets (2004)Value-at-Risk Prediction: A Comparison of Alternative Strategies (2005)Estimating the Tails of Loss Severity Distributions Using Extreme Value Theory (1997)Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach (2000)Extreme events: dynamics, statistics and prediction (2011)Extremal t processes: Elliptical domain of attraction and a spectral representation (2013)On the block maxima method in extreme value theory: PWM estimators (2014)Stationary max-stable fields associated to negative definite functions (2009)Power-law distributions in empirical data (2018)
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References

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  • 1974Residual Life Time at Great Age1,484 cited
  • 2006Extreme value theory : an introduction1,256 cited
  • 2004Statistics of Extremes: Theory and Applications1,093 cited
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  • 2005Modeling actuarial data with a composite lognormal-Pareto model219 cited
  • 2002A Dynamic Mixture Model for Unsupervised Tail Estimation without Threshold Selection167 cited
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  • 2004On maximum likelihood estimation of the extreme value index98 cited

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2000
Alternatives to a Semi-Parametric Estimator of Parameters of Rare Events—The Jackknife Methodology*
93 cited

Cited by

  • 2016Tail fitting for truncated and non-truncated Pareto-type distributions35 cited