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Estimation of extreme risk regions under multivariate regular variation
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Estimation of extreme risk regions under multivariate regular variation (2011)Estimation of extreme risk regions under …Extreme Value Theory: An Introduction (2007)Extreme Value Theory: An Intr…Extreme value theory : an introduction (2006)Extreme value theory : an int…Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation (2001)Using a Bootstrap Method to C…A Moment Estimator for the Index of an Extreme-Value Distribution (1989)A Moment Estimator for the In…Estimating Tails of Probability Distributions (1987)Estimating Tails of Probabili…Extreme Value Analysis for Financial Risk Management (2021)Extreme Value Analysis for Fi…Conditional Extremes in Asymmetric Financial Markets (2018)Conditional Extremes in Asymm…Living on the Multidimensional Edge: Seeking Hidden Risks Using Regular Variation (2013)Living on the Multidimensiona…On Some Simple Estimates of an Exponent of Regular Variation (1982)Kernel Estimates of the Tail Index of a Distribution (1985)Models for Exceedances Over High Thresholds (1990)The Asymptotic Theory of Extreme Order Statistics (1990)Modelling of extremal events in insurance and finance (1994)Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach (2000)Extreme Values, Regular Variation and Point Processes (1987)Extreme Value Theory : An Introduction (2006)Extreme Value Theory (2006)A stochastic volatility model with flexible extremal dependence structure (2016)Risk contagion under regular variation and asymptotic tail independence (2017)Determining the dependence structure of multivariate extremes (2020)On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective (1991)ARCH modeling in finance (1992)Extreme value theory and Value-at-Risk: Relative performance in emerging markets (2004)An Application of Extreme Value Theory for Measuring Financial Risk (2006)Back to the basics in banking? A micro-analysis of banking system stability (2009)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Extreme Correlation of International Equity Markets (2001)Dynamic Conditional Correlation (2002)Modelling Extremal Events (1997)An Introduction to Statistical Modeling of Extreme Values (2001)Extreme events: dynamics, statistics and prediction (2011)Population Genetics and Evolution (2012)Statistical Modeling of Spatial Extremes (2012)Statistics for near independence in multivariate extreme values (1996)Dependence Measures for Extreme Value Analyses (1999)A Conditional Approach for Multivariate Extreme Values (with Discussion) (2004)Stationary max-stable fields associated to negative definite functions (2009)Power-law distributions in empirical data (2018)
this work references cited by second hop

References

  • 2006Extreme value theory : an introduction1,291 cited
  • 1989A Moment Estimator for the Index of an Extreme-Value Distribution697 cited
  • 1987Estimating Tails of Probability Distributions627 cited
  • 2007Extreme Value Theory: An Introduction568 cited
  • 2001Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation452 cited

Cited by

  • 2013Living on the Multidimensional Edge: Seeking Hidden Risks Using Regular Variation44 cited
  • 2021Extreme Value Analysis for Financial Risk Management24 cited
  • 2018Conditional Extremes in Asymmetric Financial Markets21 cited

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