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Asymptotically (in)dependent multivariate maxima of moving maxima processes · Study

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ArticleAsymptotically (in)dependent multivariate maxima of moving maxima processes

Janet E. Heffernan2007

Article2007

Asymptotically (in)dependent multivariate maxima of moving maxima processes

Janet E. Heffernan · Jonathan A. Tawn · Zhengjun Zhang

41 citations·0/0 files stored·Extremes

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Probability and Risk Models Financial Risk and Volatility Modeling Point processes and geometric inequalities

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References

1997Modelling Extremal Events 1994Modelling of extremal events in insurance and finance 1987Extreme Values, Regular Variation and Point Processes 2002Correlation and Dependence in Risk Management: Properties and Pitfalls 1996Statistics for near independence in multivariate extreme values 2004A Conditional Approach for Multivariate Extreme Values (with Discussion)2001Correlation and Dependence 2003Inference for Clusters of Extreme Values

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Year2007

Typearticle

Published2007-06-19

VenueExtremes

ISSN-L1386-1999

Languageen

Citations41

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1007/s10687-007-0035-1

openalex_workW2056783205

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