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A Diagnostic for Selecting the Threshold in Extreme Value Analysis

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2002On Exponential Representations of Log-Spacings of Extreme Order Statistics91 cited
2002Semi-parametric Estimation of the Second Order Parameter in Statistics of Extremes79 cited
2003ESTIMATING THE EXTREME VALUE INDEX AND HIGH QUANTILES WITH EXPONENTIAL REGRESSION MODELS77 cited
2007The Quantitative Modeling of Operational Risk: Between G-and-H and EVT71 cited

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2022Overview and Open Research Topics in Statistics of Univariate Extremes63 cited

2016Adapting extreme value statistics to financial time series: dealing with bias and serial dependence62 cited

2010Kernel estimators for the second order parameter in extreme value statistics59 cited

2008Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributions57 cited

2012Likelihood-Based Procedures for Threshold Diagnostics and Uncertainty in Extreme Value Modelling52 cited

2001Confidence Intervals for the Tail Index52 cited

2013Extreme Value Analysis : an Introduction50 cited

2010Frontier estimation and extreme value theory49 cited

2004A Hill Type Estimator of the Weibull Tail-Coefficient48 cited

2006A robust prediction error criterion for pareto modelling of upper tails46 cited