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A multivariate piecing-together approach with an application to operational loss data
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A multivariate piecing-together approach with an application to operational loss data (2012)A multivariate piecing-together approach …Multivariate 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…Copula goodness-of-fit testing: an overview and power comparison (2009)Copula goodness-of-fit testin…On spatial extremes: With application to a rainfall problem (2008)On spatial extremes: With app…Goodness-of-fit tests for copulas: A review and a power study (2007)Goodness-of-fit tests for cop…Multivariate generalized Pareto distributions (2006)Multivariate generalized Pare…Extreme Value Theory (2006)Extreme Value TheoryThe Modelling of Operational Risk: Experience with the Analysis of the Data Collected by the Basel Committee (2004)The Modelling of Operational …Statistics of Extremes (2004)Statistics of ExtremesA Characterization of Quasi-copulas (1999)A Characterization of Quasi-c…Sea and Wind: Multivariate Extremes at Work (1998)Sea and Wind: Multivariate Ex…Modelling Extremal Events (1997)Modelling Extremal EventsProbabilistic Aspects of Multivariate Extremes (1984)Probabilistic Aspects of Mult…Residual Life Time at Great Age (1974)Residual Life Time at Great A…Extreme Values, Regular Variation and Point Processes (1987)A Moment Estimator for the Index of an Extreme-Value Distribution (1989)Statistics for near independence in multivariate extreme values (1996)Dependence Measures for Extreme Value Analyses (1999)Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications (2003)A Conditional Approach for Multivariate Extreme Values (with Discussion) (2004)Modelling of extremal events in insurance and finance (1994)Inference for Clusters of Extreme Values (2003)Model uncertainty and VaR aggregation (2013)An Academic Response to Basel 3.5 (2014)An Introduction to Copulas (1999)Copula Methods in Finance (2004)Everything You Always Wanted to Know about Copula Modeling but Were Afraid to Ask (2007)Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? (2010)A review of copula models for economic time series (2012)Probit transformation for nonparametric kernel estimation of the copula density (2017)Statistical Inference Procedures for Bivariate Archimedean Copulas (1993)Understanding Relationships Using Copulas (1998)Asymptotics of empirical copula processes under non-restrictive smoothness assumptions (2012)Multivariate Archimax copulas (2014)A multivariate copula‐based framework for dealing with hazard scenarios and failure probabilities (2016)Insurance: Mathematics and Economics (2004)Modeling Multivariate Distributions with Continuous Margins Using the copula R Package (2010)Copula Methods for Forecasting Multivariate Time Series (2013)Coherent Measures of Risk (1999)Empirical properties of asset returns: stylized facts and statistical issues (2001)Conditional value-at-risk for general loss distributions (2002)Maximum-Likelihood Estimation (2017)Estimating the Tails of Loss Severity Distributions Using Extreme Value Theory (1997)Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach (2000)Extreme Correlation of International Equity Markets (2001)Statistical Modeling of Spatial Extremes (2012)Power-law distributions in empirical data (2018)Models for construction of multivariate dependence – a comparison study (2008)Tails of multivariate Archimedean copulas (2009)Power Laws in Economics and Finance (2009)Tail Risk and Asset Prices (2014)Understanding Heterogeneity in Clinical Cohorts Using Normative Models: Beyond Case-Control Studies (2016)
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References

  • 1997Modelling Extremal Events4,397 cited
  • 2006Extreme Value Theory1,858 cited
  • 2004Statistics of Extremes1,787 cited
  • 1974Residual Life Time at Great Age1,484 cited
  • 2007Goodness-of-fit tests for copulas: A review and a power study1,354 cited
  • 2009Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions600 cited
  • 2009Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions512 cited
  • 2009Copula goodness-of-fit testing: an overview and power comparison270 cited
  • 2004The Modelling of Operational Risk: Experience with the Analysis of the Data Collected by the Basel Committee251 cited
  • 1998Sea and Wind: Multivariate Extremes at Work219 cited
  • 1999A Characterization of Quasi-copulas204 cited
  • 2006Multivariate generalized Pareto distributions192 cited
  • 2008On spatial extremes: With application to a rainfall problem144 cited
  • 1984Probabilistic Aspects of Multivariate Extremes61 cited

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