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A new representation for multivariate tail probabilities
16 references·1 citing·29 second hop
A new representation for multivariate tail probabilities (2013)A new representation for multivariate tai…A New Class of Models for Bivariate Joint Tails (2008)A New Class of Models for Biv…Limit laws for random vectors with an extreme component (2007)Limit laws for random vectors…Statistics of Extremes (2004)Statistics of ExtremesCharacterizations and Examples of Hidden Regular Variation (2004)Characterizations and Example…A Conditional Approach for Multivariate Extreme Values (with Discussion) (2004)A Conditional Approach for Mu…Hidden Regular Variation, Second Order Regular Variation and Asymptotic Independence (2002)Hidden Regular Variation, Sec…Multivariate Extreme Value Distributions (2000)Multivariate Extreme Value Di…Distribution and Dependence-Function Estimation for Bivariate Extreme-Value Distributions (2000)Distribution and Dependence-F…Sea and Wind: Multivariate Extremes at Work (1998)Sea and Wind: Multivariate Ex…On asymptotic normality of the hill estimator (1998)On asymptotic normality of th…Modelling Dependence within Joint Tail Regions (1997)Modelling Dependence within J…Statistics for near independence in multivariate extreme values (1996)Statistics for near independe…Modelling Extreme Multivariate Events (1991)Modelling Extreme Multivariat…Bivariate Extreme Value Theory: Models and Estimation (1988)Bivariate Extreme Value Theor…Extreme Values, Regular Variation and Point Processes (1987)Extreme Values, Regular Varia…On Asymptotic Normality of Hill's Estimator for the Exponent of Regular Variation (1985)On Asymptotic Normality of Hi…Determining the dependence structure of multivariate extremes (2020)Determining the dependence st…A Moment Estimator for the Index of an Extreme-Value Distribution (1989)Asset Market Linkages in Crisis Periods (2004)Spatial modeling of extreme snow depth (2011)A review of quantification methodologies for multi-hazard interrelationships (2019)The Asymptotic Theory of Extreme Order Statistics (1990)From value at risk to stress testing: The extreme value approach (2000)How Do Crises Spread? Evidence from Accessible and Inaccessible Stock Indices (2006)Laws of Large Numbers for Sums of Extreme Values (1982)On Some Simple Estimates of an Exponent of Regular Variation (1982)Smoothing the Hill Estimator (1997)Tail index estimation for dependent data (1998)Rank-1/2: A Simple Way to Improve the OLS Estimation of Tail Exponents (2006)Models for Exceedances Over High Thresholds (1990)Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications (2003)Statistical Modeling of Spatial Extremes (2012)Spatial Interaction and the Statistical Analysis of Lattice Systems (1974)Modelling Extremal Events (1997)MODELING THE CHOICE OF RESIDENTIAL LOCATION (1978)Copulas for Finance - A Reading Guide and Some Applications (2007)Modelling of extremal events in insurance and finance (1994)Extreme Correlation of International Equity Markets (2001)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Non‐parametric Estimation of Tail Dependence (2005)Extreme events: dynamics, statistics and prediction (2011)Bivariate Threshold Methods for Extremes (1992)Jump tails, extreme dependencies, and the distribution of stock returns (2012)Statistics of Extremes (2015)Power Laws in Economics and Finance (2009)A multivariate copula‐based framework for dealing with hazard scenarios and failure probabilities (2016)
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  • 1998

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On asymptotic normality of the hill estimator
76 cited

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  • 2020Determining the dependence structure of multivariate extremes40 cited