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Large-sample tests of extreme-value dependence for multivariate copulas
16 references·4 citing·33 second hop
Large-sample tests of extreme-value dependence for multivariate copulas (2011)Large-sample tests of extreme-value depen…Extremes in Nature: An Approach Using Copulas (2014)Extremes in Nature: An Approa…Asymptotics of empirical copula processes under non-restrictive smoothness assumptions (2012)Asymptotics of empirical copu…Quantitative Risk Management (2011)Quantitative Risk ManagementModeling Multivariate Distributions with Continuous Margins Using the copula R Package (2010)Modeling Multivariate Distrib…Extreme-Value Copulas (2010)Extreme-Value CopulasTesting for equality between two copulas (2008)Testing for equality between …Construction of asymmetric multivariate copulas (2008)Construction of asymmetric mu…Semiparametric estimation in copula models (2005)Semiparametric estimation in …Weak convergence of empirical copula processes (2004)Weak convergence of empirical…An Introduction to Copulas (1999)An Introduction to CopulasUnderstanding Relationships Using Copulas (1998)Understanding Relationships U…Propriétés statistiques des copules de valeurs extrêmes bidimensionnelles (1998)Propriétés statistiques des c…“Understanding Relationships Using Copulas,” by Edward Frees and Emiliano Valdez, January 1998 (1998)“Understanding Relationships …The Asymptotic Theory of Extreme Order Statistics (1990)The Asymptotic Theory of Extr…Modelling Multivariate Extreme Value Distributions (1990)Modelling Multivariate Extrem…Bivariate Extreme Value Theory: Models and Estimation (1988)Bivariate Extreme Value Theor…Nonparametric sequential change-point detection for multivariate time series based on empirical distribution functions (2021)Nonparametric sequential chan…A class of multivariate copulas based on products of bivariate copulas (2015)A class of multivariate copul…An Overview of the Goodness-of-Fit Test Problem for Copulas (2013)An Overview of the Goodness-o…Nonparametric rank-based tests of bivariate extreme-value dependence (2010)Nonparametric rank-based test…Everything You Always Wanted to Know about Copula Modeling but Were Afraid to Ask (2007)Goodness-of-fit tests for copulas: A review and a power study (2007)A multivariate copula‐based framework for dealing with hazard scenarios and failure probabilities (2016)Power outages and firm performance in Sub-Saharan Africa (2018)MODELING THE CHOICE OF RESIDENTIAL LOCATION (1978)Extreme Values, Regular Variation and Point Processes (1987)Markov chain models for threshold exceedances (1997)Multivariate generalized Pareto distributions (2006)A review of quantification methodologies for multi-hazard interrelationships (2019)Statistical Inference Procedures for Bivariate Archimedean Copulas (1993)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Non‐parametric Estimation of Tail Dependence (2005)Copula Methods for Forecasting Multivariate Time Series (2013)Regression Towards Mediocrity in Hereditary Stature. (1886)A distribution-free approach to inducing rank correlation among input variables (1982)On Default Correlation (2000)Copula Modeling: An Introduction for Practitioners (2007)Modelling Extremal Events (1997)Coherent Measures of Risk (1999)An Introduction to Statistical Modeling of Extreme Values (2001)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)Copula Theory: An Introduction (2010)Multivariate multiparameter extreme value models and return periods: A copula approach (2010)Modelling Extreme Multivariate Events (1991)From value at risk to stress testing: The extreme value approach (2000)How Do Crises Spread? Evidence from Accessible and Inaccessible Stock Indices (2006)Multivariate extensions of Spearman's rho and related statistics (2006)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Introductory Econometrics for Finance (2008)Extreme Correlation of International Equity Markets (2001)
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  • 2011Quantitative Risk Management985 cited
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  • 2010Modeling Multivariate Distributions with Continuous Margins Using the copula R Package395 cited
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  • 1990Modelling Multivariate Extreme Value Distributions249 cited
  • 2008Construction of asymmetric multivariate copulas241 cited
  • 2012Asymptotics of empirical copula processes under non-restrictive smoothness assumptions235 cited
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  • 2008Testing for equality between two copulas190 cited
  • 1998Propriétés statistiques des copules de valeurs extrêmes bidimensionnelles144 cited
  • 1998“Understanding Relationships Using Copulas,” by Edward Frees and Emiliano Valdez, January 1998

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115 cited

Cited by

  • 2010Nonparametric rank-based tests of bivariate extreme-value dependence38 cited
  • 2013An Overview of the Goodness-of-Fit Test Problem for Copulas36 cited
  • 2015A class of multivariate copulas based on products of bivariate copulas32 cited
  • 2021Nonparametric sequential change-point detection for multivariate time series based on empirical distribution functions14 cited