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A continuous updating weighted least squares estimator of tail dependence in high dimensions
16 references·1 citing·29 second hop
A continuous updating weighted least squares estimator of tail dependence in high dimensions (2017)A continuous updating weighted least squa…Likelihood estimators for multivariate extremes (2015)Likelihood estimators for mul…Space–Time Modelling of Extreme Events (2013)Space–Time Modelling of Extre…Efficient inference for spatial extreme value processes associated to log-Gaussian random functions (2013)Efficient inference for spati…Statistical Modeling of Spatial Extremes (2012)Statistical Modeling of Spati…An M-estimator for tail dependence in arbitrary dimensions (2012)An M-estimator for tail depen…Stationary max-stable fields associated to negative definite functions (2009)Stationary max-stable fields …Spatial extremes: Models for the stationary case (2006)Spatial extremes: Models for …Extreme Value Theory : An Introduction (2006)Extreme Value Theory : An Int…Extreme value theory : an introduction (2006)Extreme value theory : an int…Statistics of Extremes: Theory and Applications (2004)Statistics of Extremes: Theor…Statistics of Extremes (2004)Statistics of ExtremesA dependence measure for multivariate and spatial extreme values: Properties and inference (2003)A dependence measure for mult…Best Attainable Rates of Convergence for Estimators of the Stable Tail Dependence Function (1998)Best Attainable Rates of Conv…Finite-Sample Properties of Some Alternative GMM Estimators (1996)Finite-Sample Properties of S…Modelling Extreme Multivariate Events (1991)Modelling Extreme Multivariat…A Spectral Representation for Max-stable Processes (1984)A Spectral Representation for…Functional Peaks-Over-Threshold Analysis (2022)Functional Peaks-Over-Thresho…Extreme Values, Regular Variation and Point Processes (1987)Extreme events: dynamics, statistics and prediction (2011)Statistics of Extremes (2015)Extreme Value Analysis of Environmental Time Series: An Application to Trend Detection in Ground-Level Ozone (1989)Geostatistics: Modeling Spatial Uncertainty (2000)Geostatistics of extremes (2011)STATISTICS FOR SPATIAL DATA (1992)Statistics for Spatial Data (1993)An Introduction to Statistical Modeling of Extreme Values (2001)A review of quantification methodologies for multi-hazard interrelationships (2019)Asset Prices under Habit Formation and Catching up with the Joneses (1990)Habit Formation: A Resolution of the Equity Premium Puzzle (1990)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis (1991)GMM Estimation of Empirical Growth Models (2001)Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns (2002)Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators (2003)MODELING THE CHOICE OF RESIDENTIAL LOCATION (1978)Models for Exceedances Over High Thresholds (1990)Modelling Dependence within Joint Tail Regions (1997)Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications (2003)Copulas for Finance - A Reading Guide and Some Applications (2007)Tail Risk and Asset Prices (2014)Understanding Heterogeneity in Clinical Cohorts Using Normative Models: Beyond Case-Control Studies (2016)Models for Stationary Max-Stable Random Fields (2002)Likelihood-Based Inference for Max-Stable Processes (2010)Power-law distributions in empirical data (2018)Risk management with expectiles (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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  • 2015

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Likelihood estimators for multivariate extremes
68 cited

Cited by

  • 2022Functional Peaks-Over-Threshold Analysis43 cited