SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Threshold copulas and positive dependence
7 references·0 citing·26 second hop
Threshold copulas and positive dependence (2008)Threshold copulas and positive dependenceWeighted approximations of tail copula processes with application to testing the bivariate extreme value condition (2006)Weighted approximations of ta…Quantitative Risk Management: Concepts, Techniques, and Tools (2006)Quantitative Risk Management:…Limiting dependence structures for tail events, with applications to credit derivatives (2006)Limiting dependence structure…An Introduction to Copulas (Springer Series in Statistics) (2006)An Introduction to Copulas (S…Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Quantitative Risk Management:…Tail Dependence from a Distributional Point of View (2003)Tail Dependence from a Distri…Copula convergence theorems for tail events (2002)Copula convergence theorems f…An Introduction to Copulas (1999)Coherent Measures of Risk (1999)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Pair-copula constructions of multiple dependence (2007)Quantitative Risk Management (2011)Selecting and estimating regular vine copulae and application to financial returns (2012)Modelling of extremal events in insurance and finance (1994)Modelling Extremal Events (1997)Tail asymptotics for the sum of two heavy-tailed dependent risks (2006)Spatial contagion between financial markets: a copula‐based approach (2009)Extreme Values, Regular Variation and Point Processes (1987)Diversification of aggregate dependent risks (2004)Limit theory for multivariate sample extremes (1977)Best Attainable Rates of Convergence for Estimators of the Stable Tail Dependence Function (1998)Nonparametric estimation of the spectral measure of an extreme value distribution (2001)A method of moments estimator of tail dependence (2008)Multivariate generalized Pareto distributions: Parametrizations, representations, and properties (2017)Sparse representation of multivariate extremes with applications to anomaly detection (2017)Copula Theory: An Introduction (2010)Extreme-Value Copulas (2010)A review of quantification methodologies for multi-hazard interrelationships (2019)Basel Committee On Banking Supervision (2010)A review of copula models for economic time series (2012)Univariate conditioning of copulas (2008)Invariant dependence structure under univariate truncation (2010)Invariant dependence structures and Archimedean copulas (2011)
this work references cited by second hop

References

  • 2005Quantitative Risk Management: Concepts, Techniques, and Tools2,201 cited
  • 2006Quantitative Risk Management: Concepts, Techniques, and Tools1,932 cited
  • 2006An Introduction to Copulas (Springer Series in Statistics)882 cited
  • 2002Copula convergence theorems for tail events126 cited
  • 2003Tail Dependence from a Distributional Point of View85 cited
  • 2006Weighted approximations of tail copula processes with application to testing the bivariate extreme value condition71 cited
  • 2006Limiting dependence structures for tail events, with applications to credit derivatives52 cited

Cited by

No citing works inside the corpus for this window.

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