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Peaks-over-threshold stability of multivariate generalized Pareto distributions
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Peaks-over-threshold stability of multivariate generalized Pareto distributions (2007)Peaks-over-threshold stability of multiva…Testing for Tail Independence in Extreme Value models (2006)Testing for Tail Independence…Multivariate generalized Pareto distributions (2006)Multivariate generalized Pare…Statistics of Extremes: Theory and Applications (2005)Statistics of Extremes: Theor…Statistics of Extremes: Theory and Applications (2004)Statistics of Extremes: Theor…On Pickands coordinates in arbitrary dimensions (2004)On Pickands coordinates in ar…Laws of Small Numbers: Extremes and Rare Events (2004)Laws of Small Numbers: Extrem…Extreme Values in Finance, Telecommunications, and the Environment (2003)Extreme Values in Finance, Te…On the coherence of expected shortfall (2002)On the coherence of expected …Expected Shortfall: A Natural Coherent Alternative to Value at Risk (2002)Expected Shortfall: A Natural…Expected Shortfall as a Tool for Financial Risk Management (2001)Expected Shortfall as a Tool …An Introduction to Statistical Modeling of Extreme Values (2001)An Introduction to Statistica…Extreme Value Distributions (2000)Extreme Value DistributionsThe Asymptotic Theory of Extreme Order Statistics (1990)The Asymptotic Theory of Extr…Extreme Values, Regular Variation and Point Processes (1987)Extreme Values, Regular Varia…Limit theory for multivariate sample extremes (1977)Limit theory for multivariate…Residual Life Time at Great Age (1974)Residual Life Time at Great A…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)Coherent Measures of Risk (1999)Optimization of conditional value-at-risk (2000)Conditional value-at-risk for general loss distributions (2002)Lectures on Stochastic Programming (2009)Lectures on Stochastic Programming: Modeling and Theory (2009)Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk (2000)Conditional value-at-risk: optimization algorithms and applications (2002)Spectral measures of risk: A coherent representation of subjective risk aversion (2002)Quantile cointegrating regression (2008)Machine Learning and Portfolio Optimization (2016)Idea Generation and the Quality of the Best Idea (2010)Quantitative Risk Management (2011)Top Incomes in the Long Run of History (2011)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)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)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Prediction, Learning, and Games (2006)The politics of attention: how government prioritizes problems (2006)The t Copula and Related Copulas (2007)
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References

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  • 1990The Asymptotic Theory of Extreme Order Statistics1,848 cited
  • 2002On the coherence of expected shortfall1,596 cited
  • 2000Extreme Value Distributions1,591 cited
  • 1974Residual Life Time at Great Age1,484 cited
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  • 1977Limit theory for multivariate sample extremes367 cited
  • 2004Laws of Small Numbers: Extremes and Rare Events338 cited
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  • 2006Multivariate generalized Pareto distributions192 cited
  • 2001Expected Shortfall as a Tool for Financial Risk Management162 cited
  • 2004On Pickands coordinates in arbitrary dimensions40 cited
  • 2006Testing for Tail Independence in Extreme Value models

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