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Modelling Dependence within Joint Tail Regions
6 references·16 citing·35 second hop
Modelling Dependence within Joint Tail Regions (1997)Modelling Dependence within Joint Tail Re…Statistics for near independence in multivariate extreme values (1996)Statistics for near independe…Modelling Extreme Multivariate Events (1991)Modelling Extreme Multivariat…Models for Exceedances Over High Thresholds (1990)Models for Exceedances Over H…Extreme Value Analysis of Environmental Time Series: An Application to Trend Detection in Ground-Level Ozone (1989)Extreme Value Analysis of Env…Bivariate Extreme Value Theory: Models and Estimation (1988)Bivariate Extreme Value Theor…Extreme Values, Regular Variation and Point Processes (1987)Extreme Values, Regular Varia…A review of quantification methodologies for multi-hazard interrelationships (2019)A review of quantification me…Modeling Spatial Processes with Unknown Extremal Dependence Class (2018)Modeling Spatial Processes wi…Can cryptocurrencies be a safe haven: a tail risk perspective analysis (2018)Can cryptocurrencies be a saf…Statistics of Extremes (2015)Statistics of ExtremesJump tails, extreme dependencies, and the distribution of stock returns (2012)Jump tails, extreme dependenc…Dependence modelling for spatial extremes (2012)Dependence modelling for spat…Tail order and intermediate tail dependence of multivariate copulas (2011)Tail order and intermediate t…Geostatistics of extremes (2011)Geostatistics of extremesExtreme events: dynamics, statistics and prediction (2011)Extreme events: dynamics, sta…Continuous Spatial Process Models for Spatial Extreme Values (2010)Continuous Spatial Process Mo…Tails of multivariate Archimedean copulas (2009)Tails of multivariate Archime…Non‐parametric Estimation of Tail Dependence (2005)Non‐parametric Estimation of …Limit Laws for Random Vectors with an Extreme Component (2005)Limit Laws for Random Vectors…Bivariate tail estimation: dependence in asymptotic independence (2004)Bivariate tail estimation: de…Diagnostics for Dependence within Time Series Extremes (2003)Diagnostics for Dependence wi…Hidden Regular Variation, Second Order Regular Variation and Asymptotic Independence (2002)Hidden Regular Variation, Sec…The Asymptotic Theory of Extreme Order Statistics (1990)Analysis of Financial Time Series (2006)The t Copula and Related Copulas (2007)A Contribution to the Theory of Economic Growth (1956)Time Series Analysis: Forecasting and Control (1977)The Economics of Climate Change: The Stern Review (2007)Quantification of Long-Range Persistence in Geophysical Time Series: Conventional and Benchmark-Based Improvement Techniques (2013)An overview of the extremal index (2019)Global assessment of primate vulnerability to extreme climatic events (2019)An Introduction to Copulas (1999)Extreme Correlation of International Equity Markets (2001)Estimating the tail-dependence coefficient: Properties and pitfalls (2005)Selecting copulas for risk management (2007)Extreme-Value Copulas (2010)MODELING THE CHOICE OF RESIDENTIAL LOCATION (1978)Copulas for Finance - A Reading Guide and Some Applications (2007)Portfolio Selection (1952)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Some stylized facts of the cryptocurrency market (2018)When Bitcoin meets economic policy uncertainty (EPU): Measuring risk spillover effect from EPU to Bitcoin (2018)Are stablecoins truly diversifiers, hedges, or safe havens against traditional cryptocurrencies as their name suggests? (2020)Correlation and Simple Linear Regression (2003)Everything You Always Wanted to Know about Copula Modeling but Were Afraid to Ask (2007)Managing the Risks of Extreme Events and Disasters to Advance Climate Change Adaptation (2012)A multi-hazard framework for spatial-temporal impact analysis (2022)The challenges of dynamic vulnerability and how to assess it (2022)Toward a framework for systemic multi-hazard and multi-risk assessment and management (2023)Modelling of extremal events in insurance and finance (1994)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)From value at risk to stress testing: The extreme value approach (2000)How Do Crises Spread? Evidence from Accessible and Inaccessible Stock Indices (2006)Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications (2003)A Conditional Approach for Multivariate Extreme Values (with Discussion) (2004)Statistical Modeling of Spatial Extremes (2012)Estimating the Tails of Loss Severity Distributions Using Extreme Value Theory (1997)
this work references cited by second hop

References

  • 1987Extreme Values, Regular Variation and Point Processes3,165 cited
  • 1990Models for Exceedances Over High Thresholds1,725 cited
  • 1996Statistics for near independence in multivariate extreme values742 cited
  • 1989Extreme Value Analysis of Environmental Time Series: An Application to Trend Detection in Ground-Level Ozone682 cited
  • 1988Bivariate Extreme Value Theory: Models and Estimation569 cited
  • 1991Modelling Extreme Multivariate Events529 cited

Cited by

  • 2019A review of quantification methodologies for multi-hazard interrelationships363 cited
  • 2005Non‐parametric Estimation of Tail Dependence333 cited
  • 2011Extreme events: dynamics, statistics and prediction267 cited
  • 2018Can cryptocurrencies be a safe haven: a tail risk perspective analysis207 cited
  • 2011Geostatistics of extremes191 cited
  • 2015Statistics of Extremes187 cited
  • 2012Dependence modelling for spatial extremes172 cited
  • 2012Jump tails, extreme dependencies, and the distribution of stock returns170 cited
  • 2002Hidden Regular Variation, Second Order Regular Variation and Asymptotic Independence159 cited

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  • 2004Bivariate tail estimation: dependence in asymptotic independence153 cited
  • 2003Diagnostics for Dependence within Time Series Extremes140 cited
  • 2011Tail order and intermediate tail dependence of multivariate copulas139 cited
  • 2010Continuous Spatial Process Models for Spatial Extreme Values137 cited
  • 2018Modeling Spatial Processes with Unknown Extremal Dependence Class129 cited
  • 2009Tails of multivariate Archimedean copulas124 cited
  • 2005Limit Laws for Random Vectors with an Extreme Component116 cited