SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Using B-splines for nonparametric inference on bivariate extreme-value copulas
16 references·0 citing·33 second hop
Using B-splines for nonparametric inference on bivariate extreme-value copulas (2014)Using B-splines for nonparametric inferen…Asymptotics of empirical copula processes under non-restrictive smoothness assumptions (2012)Asymptotics of empirical copu…Rank-based inference for bivariate extreme-value copulas (2009)Rank-based inference for biva…Rank-based inference for bivariate extreme-value copulas (2008)Rank-based inference for biva…The t Copula and Related Copulas (2007)The t Copula and Related Copu…A Primer on Copulas for Count Data (2007)A Primer on Copulas for Count…A Primer on Copulas for Count Data (2007)A Primer on Copulas for Count…Quantitative Risk Management: Concepts, Techniques, and Tools (2006)Quantitative Risk Management:…Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Quantitative Risk Management:…Dependence Measures for Extreme Value Analyses (1999)Dependence Measures for Extre…Understanding 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 …Estimating the Tails of Loss Severity Distributions Using Extreme Value Theory (1997)Estimating the Tails of Loss …A 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…Bivariate Extreme Value Theory: Models and Estimation (1988)Bivariate Extreme Value Theor…Extreme Values, Regular Variation and Point Processes (1987)Models for Exceedances Over High Thresholds (1990)An Introduction to Copulas (1999)Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications (2003)A Conditional Approach for Multivariate Extreme Values (with Discussion) (2004)Forecast Verification (2011)Coherent Measures of Risk (1999)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Pair-copula constructions of multiple dependence (2007)Quantitative Risk Management (2011)Selecting and estimating regular vine copulae and application to financial returns (2012)The Asymptotic Theory of Extreme Order Statistics (1990)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)The Dual Theory of Choice under Risk (1987)Copulas: A Personal View (2009)Copula Theory: An Introduction (2010)Pair Copula Constructions for Multivariate Discrete Data (2012)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)Goodness-of-fit tests for copulas: A review and a power study (2007)Modelling of extremal events in insurance and finance (1994)Modelling Extremal Events (1997)Basel Committee On Banking Supervision (2010)A review of copula models for economic time series (2012)Statistical Modeling of Spatial Extremes (2012)Heavy tail modeling and teletraffic data: special invited paper (1997)Extreme Value Theory as a Risk Management Tool (1999)Extreme value theory and Value-at-Risk: Relative performance in emerging markets (2004)The Advent of Copulas in Finance (2009)
this work references cited by second hop

References

  • 2005Quantitative Risk Management: Concepts, Techniques, and Tools2,201 cited
  • 2006Quantitative Risk Management: Concepts, Techniques, and Tools1,932 cited
  • 1998Understanding Relationships Using Copulas1,258 cited
  • 2007The t Copula and Related Copulas964 cited
  • 1999Dependence Measures for Extreme Value Analyses802 cited
  • 1996Statistics for near independence in multivariate extreme values742 cited
  • 1988Bivariate Extreme Value Theory: Models and Estimation569 cited
  • 1997Estimating the Tails of Loss Severity Distributions Using Extreme Value Theory543 cited
  • 2007A Primer on Copulas for Count Data339 cited
  • 2007A Primer on Copulas for Count Data305 cited
  • 1997A nonparametric estimation procedure for bivariate extreme value copulas292 cited
  • 2012Asymptotics of empirical copula processes under non-restrictive smoothness assumptions235 cited
  • 1998Propriétés statistiques des copules de valeurs extrêmes bidimensionnelles144 cited
  • 1998“Understanding Relationships Using Copulas,” by Edward Frees and Emiliano Valdez, January 1998115 cited
  • 2008Rank-based inference for bivariate extreme-value copulas108 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2009Rank-based inference for bivariate extreme-value copulas104 cited
  • Cited by

    No citing works inside the corpus for this window.