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Estimating the limit distribution of multivariate extremes

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References

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1997Second-order regular variation, convolution and the central limit theorem69 cited
1997Estimating the spectral measure of an extreme value distribution68 cited
2010On optimal portfolio diversification with respect to extreme risks65 cited
2009Inference for the limiting cluster size distribution of extreme values58 cited
2007Estimating the tail dependence function of an elliptical distribution57 cited
2013Living on the Multidimensional Edge: Seeking Hidden Risks Using Regular Variation44 cited
2011A construction principle for multivariate extreme value distributions

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2006Multivariate Extreme Value Theory And Its Usefulness In Understanding Risk30 cited

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