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Peaks-over-threshold stability of multivariate generalized Pareto distributions · Study

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ArticlePeaks-over-threshold stability of multivariate generalized Pareto distributions

Michael Falk2007

OA

Articlebronze2007

Peaks-over-threshold stability of multivariate generalized Pareto distributions

Michael Falk · Armelle Guillou

32 citations·0/0 files stored·Journal of Multivariate Analysis

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Probability and Risk Models Statistical Distribution Estimation and Applications Financial Risk and Volatility Modeling

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References

2001An Introduction to Statistical Modeling of Extreme Values 1987Extreme Values, Regular Variation and Point Processes 1990The Asymptotic Theory of Extreme Order Statistics 2002On the coherence of expected shortfall 2000Extreme Value Distributions 1974Residual Life Time at Great Age 2004Statistics of Extremes: Theory and Applications 2002Expected Shortfall: A Natural Coherent Alternative to Value at Risk

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Year2007

Typearticle

Published2007-04-15

VenueJournal of Multivariate Analysis

ISSN-L0047-259X

Languageen

Citations32

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1016/j.jmva.2007.03.009

openalex_workW2003589477

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