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Modelling Across Extremal Dependence Classes
16 references·3 citing·29 second hop
Modelling Across Extremal Dependence Classes (2016)Modelling Across Extremal Dependence Clas…Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions (2009)Multivariate Archimedean copu…Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions (2009)Multivariate Archimedean copu…Heavy-Tail Phenomena: Probabilistic and Statistical Modeling (2006)Heavy-Tail Phenomena: Probabi…Limit Laws for Random Vectors with an Extreme Component (2005)Limit Laws for Random Vectors…Statistics of Extremes (2004)Statistics of ExtremesA Conditional Approach for Multivariate Extreme Values (with Discussion) (2004)A Conditional Approach for Mu…Multivariate extremes, aggregation and dependence in elliptical distributions (2002)Multivariate extremes, aggreg…Hidden Regular Variation, Second Order Regular Variation and Asymptotic Independence (2002)Hidden Regular Variation, Sec…A Directory of Coefficients of Tail Dependence (2000)A Directory of Coefficients o…Dependence Measures for Extreme Value Analyses (1999)Dependence Measures for Extre…Sea and Wind: Multivariate Extremes at Work (1998)Sea and Wind: Multivariate Ex…Modelling Dependence within Joint Tail Regions (1997)Modelling Dependence within J…Statistical methods for multivariate extremes: an application to structural design. (1994)Statistical methods for multi…Statistical Methods for Multivariate Extremes: An Application to Structural Design (1994)Statistical Methods for Multi…Modelling Extreme Multivariate Events (1991)Modelling Extreme Multivariat…Extreme Values, Regular Variation and Point Processes (1987)Extreme Values, Regular Varia…Higher-dimensional spatial extremes via single-site conditioning (2022)Higher-dimensional spatial ex…Asymmetric tail dependence modeling, with application to cryptocurrency market data (2022)Asymmetric tail dependence mo…Extremal dependence of random scale constructions (2019)Extremal dependence of random…Models for Exceedances Over High Thresholds (1990)An Introduction to Copulas (1999)Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications (2003)Forecast Verification (2011)Bivariate Extreme Value Theory: Models and Estimation (1988)The Asymptotic Theory of Extreme Order Statistics (1990)Spatial modeling of extreme snow depth (2011)A review of quantification methodologies for multi-hazard interrelationships (2019)Statistical Inference Procedures for Bivariate Archimedean Copulas (1993)Understanding Relationships Using Copulas (1998)Extreme-Value Copulas (2010)Asymptotics of empirical copula processes under non-restrictive smoothness assumptions (2012)A multivariate copula‐based framework for dealing with hazard scenarios and failure probabilities (2016)Spatial Interaction and the Statistical Analysis of Lattice Systems (1974)Modelling Extremal Events (1997)Statistical Modeling of Spatial Extremes (2012)Statistics for near independence in multivariate extreme values (1996)Non‐parametric Estimation of Tail Dependence (2005)Extreme events: dynamics, statistics and prediction (2011)MODELING THE CHOICE OF RESIDENTIAL LOCATION (1978)Copulas for Finance - A Reading Guide and Some Applications (2007)Copula Methods in Finance (2004)Construction of asymmetric multivariate copulas (2008)Models for construction of multivariate dependence – a comparison study (2008)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)Power Laws in Economics and Finance (2009)Regularly varying multivariate time series (2008)
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References

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144 cited
  • 2005Limit Laws for Random Vectors with an Extreme Component116 cited
  • Cited by

    • 2022Higher-dimensional spatial extremes via single-site conditioning70 cited
    • 2019Extremal dependence of random scale constructions42 cited
    • 2022Asymmetric tail dependence modeling, with application to cryptocurrency market data33 cited