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Cited by

• 1998Selecting the optimal sample fraction in univariate extreme value estimation256 cited
• 2004The Modelling of Operational Risk: Experience with the Analysis of the Data Collected by the Basel Committee251 cited
• 2006After VaR: The Theory, Estimation, and Insurance Applications of Quantile‐Based Risk Measures174 cited
• 2003High volatility, thick tails and extreme value theory in value-at-risk estimation166 cited
• 2003Testing for differences in the tails of stock-market returns164 cited
• 2003Punctuations and agendas: A new look at local government budget expenditures162 cited
• 2001LEVY-STABLE DISTRIBUTIONS REVISITED: TAIL INDEX > 2 DOES NOT EXCLUDE THE LEVY-STABLE REGIME114 cited
• 2008Return interval distribution of extreme events and long-term memory113 cited
• 2013EXTREME VALUE THEORY IN FINANCE: A SURVEY112 cited
• 2004Managing extreme risks in tranquil and volatile markets using conditional extreme value theory102 cited
• 2006Copulas: A Review and Recent Developments99 cited
• 2004The choice of the distribution of asset returns: How extreme value theory can help?97 cited
• 2000Weighted approximations of tail processes for $\beta$-mixing random variables97 cited
• 2003Kernel density estimation of actuarial loss functions