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Projection estimators of Pickands dependence functions
16 references·0 citing·34 second hop
Projection estimators of Pickands dependence functions (2008)Projection estimators of Pickands depende…Statistics of Extremes: Theory and Applications (2004)Statistics of Extremes: Theor…Statistics of Extremes (2004)Statistics of ExtremesNonparametric estimation of the spectral measure of an extreme value distribution (2001)Nonparametric estimation of t…Multivariate Extreme Value Distributions (2000)Multivariate Extreme Value Di…Distribution and Dependence-Function Estimation for Bivariate Extreme-Value Distributions (2000)Distribution and Dependence-F…An Introduction to Copulas (1999)An Introduction to CopulasUnderstanding Relationships Using Copulas (1998)Understanding Relationships U…Propriétés statistiques des copules de valeurs extrêmes bidimensionnelles (1998)Propriétés statistiques des c…Best Attainable Rates of Convergence for Estimators of the Stable Tail Dependence Function (1998)Best Attainable Rates of Conv…“Understanding Relationships Using Copulas,” by Edward Frees and Emiliano Valdez, January 1998 (1998)“Understanding Relationships …Multivariate extreme value distributions (1997)Multivariate extreme value di…A nonparametric estimation procedure for bivariate extreme value copulas (1997)A nonparametric estimation pr…Statistics for near independence in multivariate extreme values (1996)Statistics for near independe…On the limiting behavior of the Pickands estimator for bivariate extreme-value distributions (1991)On the limiting behavior of t…Bivariate Extreme Value Theory: Models and Estimation (1988)Bivariate Extreme Value Theor…Limit theory for multivariate sample extremes (1977)Limit theory for multivariate…Extreme Values, Regular Variation and Point Processes (1987)A Semiparametric Estimation Procedure of Dependence Parameters in Multivariate Families of Distributions (1995)Modelling Time-Varying Exchange Rate Dependence Using the Conditional Copula (2001)Extreme-Value Copulas (2010)Statistics of Extremes (2015)The Asymptotic Theory of Extreme Order Statistics (1990)Modelling Extreme Multivariate Events (1991)From value at risk to stress testing: The extreme value approach (2000)How Do Crises Spread? Evidence from Accessible and Inaccessible Stock Indices (2006)Statistical Inference Procedures for Bivariate Archimedean Copulas (1993)Bivariate Distributions with Given Extreme Value Attractor (2000)Bivariate option pricing using dynamic copula models (2005)Introduction to Stochastic Processes (2014)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)Regression Towards Mediocrity in Hereditary Stature. (1886)A distribution-free approach to inducing rank correlation among input variables (1982)On Default Correlation (2000)Copula Modeling: An Introduction for Practitioners (2007)Goodness-of-fit tests for copulas: A review and a power study (2007)Statistical Modeling of Spatial Extremes (2012)Tail Risk and Asset Prices (2014)Understanding Heterogeneity in Clinical Cohorts Using Normative Models: Beyond Case-Control Studies (2016)Extreme values of independent stochastic processes (1977)Extremal Theory for Stochastic Processes (1988)Statistical Methods for Multivariate Extremes: An Application to Structural Design (1994)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Introductory Econometrics for Finance (2008)Bivariate Threshold Methods for Extremes (1992)Jump tails, extreme dependencies, and the distribution of stock returns (2012)Power Laws in Economics and Finance (2009)A multivariate copula‐based framework for dealing with hazard scenarios and failure probabilities (2016)
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References

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  • 1998Understanding Relationships Using Copulas1,258 cited
  • 2004Statistics of Extremes1,204 cited
  • 2004Statistics of Extremes: Theory and Applications1,093 cited
  • 1996Statistics for near independence in multivariate extreme values742 cited
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  • 1998Propriétés statistiques des copules de valeurs extrêmes bidimensionnelles144 cited
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  • 1998Best Attainable Rates of Convergence for Estimators of the Stable Tail Dependence Function116 cited
  • 1998“Understanding Relationships Using Copulas,” by Edward Frees and Emiliano Valdez, January 1998115 cited
  • 2001Nonparametric estimation of the spectral measure of an extreme value distribution112 cited
  • 1997Multivariate extreme value distributions95 cited

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  • 1991On the limiting behavior of the Pickands estimator for bivariate extreme-value distributions92 cited
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