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Extreme behaviour for bivariate elliptical distributions
16 references·3 citing·38 second hop
Extreme behaviour for bivariate elliptical distributions (2005)Extreme behaviour for bivariate elliptica…Dependence Properties of Meta-Elliptical Distributions (2005)Dependence Properties of Meta…Characterizations and Examples of Hidden Regular Variation (2004)Characterizations and Example…A Conditional Approach for Multivariate Extreme Values (with Discussion) (2004)A Conditional Approach for Mu…Elliptical copulas: applicability and limitations (2003)Elliptical copulas: applicabi…Tail dependence for elliptically contoured distributions (2002)Tail dependence for elliptica…Multivariate extremes, aggregation and dependence in elliptical distributions (2002)Multivariate extremes, aggreg…Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Correlation and Dependence in…The Bootstrap Methodology in Statistics of Extremes—Choice of the Optimal Sample Fraction (2001)The Bootstrap Methodology in …Tail-Index Estimates in Small Samples (2001)Tail-Index Estimates in Small…How to make a Hill plot (2000)How to make a Hill plotExtremes and integrated risk management (2000)Extremes and integrated risk …Coherent Measures of Risk (1999)Coherent Measures of RiskSelecting the optimal sample fraction in univariate extreme value estimation (1998)Selecting the optimal sample …Smoothing the Hill Estimator (1997)Smoothing the Hill EstimatorA Moment Estimator for the Index of an Extreme-Value Distribution (1989)A Moment Estimator for the In…Extreme Values, Regular Variation and Point Processes (1987)Extreme Values, Regular Varia…Extremal dependence of random scale constructions (2019)Extremal dependence of random…Tail asymptotics under beta random scaling (2010)Tail asymptotics under beta r…Tail dependence of skewed grouped t -distributions (2008)Tail dependence of skewed gro…An Introduction to Copulas (1999)The distribution of realized stock return volatility (2001)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Pair-copula constructions of multiple dependence (2007)The Econometrics of Financial Markets (2012)Continuous Martingales and Brownian Motion (1991)Estimating the Tails of Loss Severity Distributions Using Extreme Value Theory (1997)Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation (2001)Parameter estimation for power-law distributions by maximum likelihood methods (2007)Econophysics review: I. Empirical facts (2011)Extreme Value Theory and Statistics of Univariate Extremes: A Review (2014)Kernel Estimates of the Tail Index of a Distribution (1985)Statistical Analysis of Extreme Values (2007)Are output growth‐rate distributions fat‐tailed? some evidence from OECD countries (2008)Power-law distributions in binned empirical data (2014)Spatial Interaction and the Statistical Analysis of Lattice Systems (1974)Modelling Extremal Events (1997)Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications (2003)Statistical Modeling of Spatial Extremes (2012)A review of quantification methodologies for multi-hazard interrelationships (2019)Chapter 49 Arch models (1994)Value at risk: the new benchmark for controlling market risk (1996)Normal mixture GARCH(1,1): applications to exchange rate modelling (2006)Selecting copulas for risk management (2007)Evaluating Value-at-Risk Models via Quantile Regression (2010)Modelling of extremal events in insurance and finance (1994)Beyond Correlation: Extreme Co-Movements between Financial Assets (2002)Tail Variance Premium with Applications for Elliptical Portfolio of Risks (2006)Searching for innovation: Product, process, and business model innovations and search behavior in established firms (2018)The simple economics of bank fragility (2004)A comparison of extreme value theory approaches for determining value at risk (2005)Modeling and optimization of risk (2010)Extreme Correlation of International Equity Markets (2001)Conditional value-at-risk for general loss distributions (2002)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)Heavy tail modeling and teletraffic data: special invited paper (1997)Tail Index Estimation and an Exponential Regression Model (1999)
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References

  • 1999Coherent Measures of Risk8,849 cited
  • 1987Extreme Values, Regular Variation and Point Processes3,165 cited
  • 2002Correlation and Dependence in Risk Management: Properties and Pitfalls1,992 cited
  • 1989A Moment Estimator for the Index of an Extreme-Value Distribution697 cited
  • 2004A Conditional Approach for Multivariate Extreme Values (with Discussion)679 cited
  • 2001Tail-Index Estimates in Small Samples293 cited
  • 1998Selecting the optimal sample fraction in univariate extreme value estimation256 cited
  • 2002Multivariate extremes, aggregation and dependence in elliptical distributions251 cited
  • 2000How to make a Hill plot238 cited
  • 2000Extremes and integrated risk management187 cited
  • 1997Smoothing the Hill Estimator172 cited
  • 2002Tail dependence for elliptically contoured distributions156 cited
  • 2003Elliptical copulas: applicability and limitations155 cited
  • 2001The Bootstrap Methodology in Statistics of Extremes—Choice of the Optimal Sample Fraction133 cited
  • 2004Characterizations and Examples of Hidden Regular Variation104 cited
  • 2005

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Dependence Properties of Meta-Elliptical Distributions
78 cited

Cited by

  • 2019Extremal dependence of random scale constructions42 cited
  • 2010Tail asymptotics under beta random scaling36 cited
  • 2008Tail dependence of skewed grouped t -distributions26 cited