SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Extreme value properties of multivariate t copulas
10 references·16 citing·30 second hop
Extreme value properties of multivariate t copulas (2008)Extreme value properties of multivariate …The t Copula and Related Copulas (2007)The t Copula and Related Copu…Uncertainty Analysis with High Dimensional Dependence Modelling (2006)Uncertainty Analysis with Hig…Quantitative Risk Management: Concepts, Techniques, and Tools (2006)Quantitative Risk Management:…Copulas: Tales and facts (2006)Copulas: Tales and factsQuantitative Risk Management: Concepts, Techniques, and Tools (2005)Quantitative Risk Management:…Laws of Small Numbers: Extremes and Rare Events (2004)Laws of Small Numbers: Extrem…Risk Management: Value at Risk and Beyond (2002)Risk Management: Value at Ris…Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Correlation and Dependence in…Maxima of bivariate random vectors: Between independence and complete dependence (1994)Maxima of bivariate random ve…Maxima of normal random vectors: Between independence and complete dependence (1989)Maxima of normal random vecto…A Compendium of Copulas (2017)A Compendium of CopulasNon-Stationary Dependence Structures for Spatial Extremes (2016)Non-Stationary Dependence Str…Bernoulli and tail-dependence compatibility (2016)Bernoulli and tail-dependence…Multivariate max-stable spatial processes (2015)Multivariate max-stable spati…High-Order Composite Likelihood Inference for Max-Stable Distributions and Processes (2015)High-Order Composite Likeliho…Efficient inference and simulation for elliptical Pareto processes (2015)Efficient inference and simul…Strength of tail dependence based on conditional tail expectation (2013)Strength of tail dependence b…Spatial extremes: Max-stable processes at work (2013)Spatial extremes: Max-stable …Predicting dependent binary outcomes through logistic regressions and meta-elliptical copulas (2013)Predicting dependent binary o…Extreme value copulas and max-stable processes (2013)Extreme value copulas and max…Extremal t processes: Elliptical domain of attraction and a spectral representation (2013)Extremal t processes: Ellipti…Copula-Based Models for Multivariate Discrete Response Data (2013)Copula-Based Models for Multi…Multivariate extreme models based on underlying skew- t and skew-normal distributions (2011)Multivariate extreme models b…Tail Risk of Multivariate Regular Variation (2010)Tail Risk of Multivariate Reg…Tail Behaviour of Copulas (2010)Tail Behaviour of CopulasTail Dependence for Heavy-Tailed Scale Mixtures of Multivariate Distributions (2009)Tail Dependence for Heavy-Tai…An Introduction to Copulas (1999)Coherent Measures of Risk (1999)The distribution of realized stock return volatility (2001)Pair-copula constructions of multiple dependence (2007)The Econometrics of Financial Markets (2012)Modelling Extremal Events (1997)Copulas: A Personal View (2009)Copula Theory: An Introduction (2010)Numerical solution of stochastic differential equations (2016)Power outages and firm performance in Sub-Saharan Africa (2018)Extreme values of independent stochastic processes (1977)Extreme Values, Regular Variation and Point Processes (1987)The Asymptotic Theory of Extreme Order Statistics (1990)Bivariate Distributions with Given Extreme Value Attractor (2000)Extreme events: dynamics, statistics and prediction (2011)Statistics of Extremes (2015)Modelling of extremal events in insurance and finance (1994)Statistical Modeling of Spatial Extremes (2012)Quantitative Risk Management (2011)Selecting and estimating regular vine copulae and application to financial returns (2012)Basel Committee On Banking Supervision (2010)A review of copula models for economic time series (2012)High volatility, thick tails and extreme value theory in value-at-risk estimation (2003)Quantitative models for operational risk: Extremes, dependence and aggregation (2006)Tail risk of contagious diseases (2020)Extreme-Value Copulas (2010)Networks of equities in financial markets (2004)Value-at-risk versus expected shortfall: A practical perspective (2004)Estimating the tail-dependence coefficient: Properties and pitfalls (2005)Generating random correlation matrices based on vines and extended onion method (2009)
this work references cited by second hop

References

  • 2005Quantitative Risk Management: Concepts, Techniques, and Tools2,201 cited
  • 2002Correlation and Dependence in Risk Management: Properties and Pitfalls1,992 cited
  • 2006Quantitative Risk Management: Concepts, Techniques, and Tools1,932 cited
  • 2007The t Copula and Related Copulas964 cited
  • 2006Uncertainty Analysis with High Dimensional Dependence Modelling665 cited
  • 2002Risk Management: Value at Risk and Beyond338 cited
  • 2004Laws of Small Numbers: Extremes and Rare Events329 cited
  • 1989Maxima of normal random vectors: Between independence and complete dependence255 cited
  • 2006Copulas: Tales and facts242 cited
  • 1994Maxima of bivariate random vectors: Between independence and complete dependence208 cited

Cited by

  • 2013Extremal t processes: Elliptical domain of attraction and a spectral representation127 cited
  • 2015Efficient inference and simulation for elliptical Pareto processes100 cited
  • 2015High-Order Composite Likelihood Inference for Max-Stable Distributions and Processes96 cited
  • 2016Non-Stationary Dependence Structures for Spatial Extremes76 cited
  • 2013Spatial extremes: Max-stable processes at work

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

76 cited
  • 2013Copula-Based Models for Multivariate Discrete Response Data68 cited
  • 2010Tail Risk of Multivariate Regular Variation58 cited
  • 2013Extreme value copulas and max-stable processes56 cited
  • 2011Multivariate extreme models based on underlying skew- t and skew-normal distributions46 cited
  • 2017A Compendium of Copulas41 cited
  • 2016Bernoulli and tail-dependence compatibility39 cited
  • 2009Tail Dependence for Heavy-Tailed Scale Mixtures of Multivariate Distributions36 cited
  • 2013Predicting dependent binary outcomes through logistic regressions and meta-elliptical copulas34 cited
  • 2013Strength of tail dependence based on conditional tail expectation34 cited
  • 2015Multivariate max-stable spatial processes33 cited
  • 2010Tail Behaviour of Copulas28 cited