SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Nonparametric rank-based tests of bivariate extreme-value dependence
16 references·1 citing·31 second hop
Nonparametric rank-based tests of bivariate extreme-value dependence (2010)Nonparametric rank-based tests of bivaria…Extremes in Nature: An Approach Using Copulas (2014)Extremes in Nature: An Approa…Quantitative Risk Management (2012)Quantitative Risk ManagementQuantitative Risk Management (2011)Quantitative Risk ManagementModeling Multivariate Distributions with Continuous Margins Using the copula R Package (2010)Modeling Multivariate Distrib…Extreme-Value Copulas (2010)Extreme-Value CopulasTesting for equality between two copulas (2008)Testing for equality between …Construction of asymmetric multivariate copulas (2008)Construction of asymmetric mu…An Introduction to Copulas (Springer Series in Statistics) (2006)An Introduction to Copulas (S…Semiparametric estimation in copula models (2005)Semiparametric estimation in …Weak convergence of empirical copula processes (2004)Weak convergence of empirical…An Introduction to Copulas (1999)An Introduction to CopulasUnderstanding Relationships Using Copulas (1998)Understanding Relationships U…A nonparametric estimation procedure for bivariate extreme value copulas (1997)A nonparametric estimation pr…The Asymptotic Theory of Extreme Order Statistics (1990)The Asymptotic Theory of Extr…Modelling Multivariate Extreme Value Distributions (1990)Modelling Multivariate Extrem…Bivariate Extreme Value Theory: Models and Estimation (1988)Bivariate Extreme Value Theor…Weak convergence of empirical copula processes under nonrestrictive smoothness assumptions (2010)Weak convergence of empirical…Everything You Always Wanted to Know about Copula Modeling but Were Afraid to Ask (2007)Goodness-of-fit tests for copulas: A review and a power study (2007)A multivariate copula‐based framework for dealing with hazard scenarios and failure probabilities (2016)Power outages and firm performance in Sub-Saharan Africa (2018)Statistical Inference Procedures for Bivariate Archimedean Copulas (1993)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Non‐parametric Estimation of Tail Dependence (2005)Copula Methods for Forecasting Multivariate Time Series (2013)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)Modelling Extremal Events (1997)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)Copula Theory: An Introduction (2010)A review of quantification methodologies for multi-hazard interrelationships (2019)Multivariate multiparameter extreme value models and return periods: A copula approach (2010)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)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Introductory Econometrics for Finance (2008)Factor copula models for multivariate data (2013)COHERENCE AND ELICITABILITY (2014)Booms, busts and heavy-tails: The story of Bitcoin and cryptocurrency markets? (2018)Extreme Correlation of International Equity Markets (2001)
this work references cited by second hop

References

  • 1999An Introduction to Copulas7,743 cited
  • 1990The Asymptotic Theory of Extreme Order Statistics1,830 cited
  • 1998Understanding Relationships Using Copulas1,258 cited
  • 2011Quantitative Risk Management985 cited
  • 2006An Introduction to Copulas (Springer Series in Statistics)882 cited
  • 1988Bivariate Extreme Value Theory: Models and Estimation569 cited
  • 2014Extremes in Nature: An Approach Using Copulas430 cited
  • 2004Weak convergence of empirical copula processes396 cited
  • 2010Modeling Multivariate Distributions with Continuous Margins Using the copula R Package395 cited
  • 2012Quantitative Risk Management374 cited
  • 2005Semiparametric estimation in copula models316 cited
  • 1997A nonparametric estimation procedure for bivariate extreme value copulas292 cited
  • 1990Modelling Multivariate Extreme Value Distributions249 cited
  • 2008Construction of asymmetric multivariate copulas241 cited
  • 2010Extreme-Value Copulas229 cited
  • 2008Testing for equality between two copulas190 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

Cited by

  • 2010Weak convergence of empirical copula processes under nonrestrictive smoothness assumptions30 cited