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ChapterMultivariate extreme value distributions

Unknown author1997

Chapter1997

Multivariate extreme value distributions

Unknown author

95 citations·0/0 files stored·Monographs on statistics and applied probability

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

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1991On the limiting behavior of the Pickands estimator for bivariate extreme-value distributions 2012Estimating return levels from serially dependent extremes 2009Lévy-frailty copulas 2014Dependence and extreme dependence of crude oil and natural gas prices with applications to risk management 2006Nonparametric estimation of the dependence function for a multivariate extreme value distribution 2004The behavior of multivariate maxima of moving maxima processes 2008Semi‐Parametric Models for the Multivariate Tail Dependence Function – the Asymptotically Dependent Case 2015Extreme asymmetric volatility: Stress and aggregate asset prices

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Year1997

Typechapter

Published1997-05-01

VenueMonographs on statistics and applied probability

ISSN-L2154-3038

Languageen

Citations95

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1201/b13150-7

openalex_workW2490220484

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