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The Extremal Dependence Measure and Asymptotic Independence
16 references·1 citing·34 second hop
The Extremal Dependence Measure and Asymptotic Independence (2004)The Extremal Dependence Measure and Asymp…Statistical Analysis of Extreme Values (2007)Statistical Analysis of Extre…Theory and applications of long-range dependence (2003)Theory and applications of lo…A characterization of multivariate regular variation (2002)A characterization of multiva…Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation (2001)Using a Bootstrap Method to C…Extremes and integrated risk management (2000)Extremes and integrated risk …Dependence Measures for Extreme Value Analyses (1999)Dependence Measures for Extre…The sample autocorrelations of heavy-tailed processes with applications to ARCH (1998)The sample autocorrelations o…Sea and Wind: Multivariate Extremes at Work (1998)Sea and Wind: Multivariate Ex…Smoothing the Hill Estimator (1997)Smoothing the Hill EstimatorModelling Dependence within Joint Tail Regions (1997)Modelling Dependence within J…Statistics for near independence in multivariate extreme values (1996)Statistics for near independe…Bivariate Extreme Value Theory: Models and Estimation (1988)Bivariate Extreme Value Theor…Extreme Values, Regular Variation and Point Processes (1987)Extreme Values, Regular Varia…Limit Theory for Moving Averages of Random Variables with Regularly Varying Tail Probabilities (1985)Limit Theory for Moving Avera…A Spectral Representation for Max-stable Processes (1984)A Spectral Representation for…Limit theory for multivariate sample extremes (1977)Limit theory for multivariate…Extremal dependence measure and extremogram: the regularly varying case (2011)Extremal dependence measure a…Models for Exceedances Over High Thresholds (1990)An Introduction to Copulas (1999)Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications (2003)A Conditional Approach for Multivariate Extreme Values (with Discussion) (2004)Forecast Verification (2011)From value at risk to stress testing: The extreme value approach (2000)An Introduction to Statistical Modeling of Extreme Values (2001)Extreme value theory and Value-at-Risk: Relative performance in emerging markets (2004)Stochastic Dynamics of Marine Structures (2012)The Asymptotic Theory of Extreme Order Statistics (1990)Modelling Extreme Multivariate Events (1991)How Do Crises Spread? Evidence from Accessible and Inaccessible Stock Indices (2006)On Some Simple Estimates of an Exponent of Regular Variation (1982)On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective (1991)ARCH modeling in finance (1992)Value-at-Risk and Extreme Returns (2000)Value-at-risk versus expected shortfall: A practical perspective (2004)An Application of Extreme Value Theory for Measuring Financial Risk (2006)Extreme values of independent stochastic processes (1977)Extremal Theory for Stochastic Processes (1988)Statistical Methods for Multivariate Extremes: An Application to Structural Design (1994)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)Statistical Modeling of Spatial Extremes (2012)Models for Stationary Max-Stable Random Fields (2002)Stationary max-stable fields associated to negative definite functions (2009)Likelihood-Based Inference for Max-Stable Processes (2010)Non‐parametric Estimation of Tail Dependence (2005)Extreme events: dynamics, statistics and prediction (2011)A review of quantification methodologies for multi-hazard interrelationships (2019)Volatility Clustering in Financial Markets: Empirical Facts and Agent-Based Models (2006)Bootstrap for Empirical Multifractal Analysis (2007)Interaction-dominant dynamics in human cognition: Beyond 1/ƒα fluctuation. (2010)
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References

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  • 1997

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Smoothing the Hill Estimator
172 cited

Cited by

  • 2011Extremal dependence measure and extremogram: the regularly varying case46 cited