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Extremal behavior of Archimedean copulas
16 references·1 citing·35 second hop
Extremal behavior of Archimedean copulas (2011)Extremal behavior of Archimedean copulasQuantitative Risk Management (2012)Quantitative Risk ManagementQuantitative Risk Management (2011)Quantitative Risk ManagementMultivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions (2009)Multivariate Archimedean copu…Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions (2009)Multivariate Archimedean copu…Extreme Value Theory (2006)Extreme Value TheoryExtreme Value Theory : An Introduction (2006)Extreme Value Theory : An Int…Credit Derivatives Pricing Models (2003)Credit Derivatives Pricing Mo…Multivariate extremes, aggregation and dependence in elliptical distributions (2002)Multivariate extremes, aggreg…Bivariate Distributions with Given Extreme Value Attractor (2000)Bivariate Distributions with …Dependence Measures for Extreme Value Analyses (1999)Dependence Measures for Extre…An Introduction to Copulas (1999)An Introduction to CopulasUnderstanding Relationships Using Copulas (1998)Understanding Relationships U…Modelling Extremal Events (1997)Modelling Extremal EventsSubexponentiality of the product of independent random variables (1994)Subexponentiality of the prod…A characterization of gumbel's family of extreme value distributions (1989)A characterization of gumbel'…Extreme Values, Regular Variation and Point Processes (1987)Extreme Values, Regular Varia…A test for Archimedeanity in bivariate copula models (2012)A test for Archimedeanity in …Models for Exceedances Over High Thresholds (1990)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)Statistical Inference Procedures for Bivariate Archimedean Copulas (1993)Extreme-Value Copulas (2010)Asymptotics of empirical copula processes under non-restrictive smoothness assumptions (2012)A multivariate copula‐based framework for dealing with hazard scenarios and failure probabilities (2016)Regression Towards Mediocrity in Hereditary Stature. (1886)A distribution-free approach to inducing rank correlation among input variables (1982)The Asymptotic Theory of Extreme Order Statistics (1990)On Default Correlation (2000)Copula Modeling: An Introduction for Practitioners (2007)Goodness-of-fit tests for copulas: A review and a power study (2007)Copula Methods in Finance (2004)Construction of asymmetric multivariate copulas (2008)Models for construction of multivariate dependence – a comparison study (2008)Coherent Measures of Risk (1999)An Introduction to Statistical Modeling of Extreme Values (2001)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach (2012)Dynamic Conditional Correlation: On Properties and Estimation (2013)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)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Introductory Econometrics for Finance (2008)Copulas: A Personal View (2009)Extreme events: dynamics, statistics and prediction (2011)Empirical properties of asset returns: stylized facts and statistical issues (2001)Conditional value-at-risk for general loss distributions (2002)Stationary max-stable fields associated to negative definite functions (2009)Statistical Modeling of Spatial Extremes (2012)Risk management with expectiles (2015)
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References

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  • 2006Extreme Value Theory : An Introduction1,564 cited
  • 1998Understanding Relationships Using Copulas1,258 cited
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  • 1989A characterization of gumbel's family of extreme value distributions

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139 cited

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  • 2012A test for Archimedeanity in bivariate copula models28 cited