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Mass distributions of two-dimensional extreme-value copulas and related results · Study

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ArticleMass distributions of two-dimensional extreme-value copulas and related results

Wolfgang Trutschnig2016

Article2016

Mass distributions of two-dimensional extreme-value copulas and related results

Wolfgang Trutschnig · Manuela Larissa Schreyer · Juan Fernández Sánchez

25 citations·0/0 files stored·Extremes

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Probability and Risk Models Statistical Distribution Estimation and Applications Financial Risk and Volatility Modeling

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References

1999An Introduction to Copulas 2001Extreme Correlation of International Equity Markets 2004Statistics of Extremes 2004Statistics of Extremes: Theory and Applications 2011Quantitative Risk Management 2010Copula Theory and Its Applications 2015Principles of Copula Theory 1988Bivariate Extreme Value Theory: Models and Estimation

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2008Projection estimators of Pickands dependence functionsarticle · 8 shared references 2010Nonparametric rank-based tests of bivariate extreme-value dependencearticle · 8 shared references 2014Extreme value copula estimation based on block maxima of a multivariate stationary time seriesarticle · 8 shared references 2021On weak conditional convergence of bivariate Archimedean and Extreme Value copulas, and consequences to nonparametric estimationarticle · 8 shared references 2004Non-Parametric Inference for Bivariate Extreme-Value Copulaspreprint · 8 shared references 2014Copula Modeling for Extremesother · 8 shared references

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Year2016

Typearticle

Published2016-04-02

VenueExtremes

ISSN-L1386-1999

Languageen

Citations25

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1007/s10687-016-0249-1

openalex_workW2327285143

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