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Multivariate Extreme Value Methods · Study

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ChapterMultivariate Extreme Value Methods

Gianfausto Salvadori2012

Chapter2012

Multivariate Extreme Value Methods

Gianfausto Salvadori · Carlo De Michele

33 citations·0/0 files stored·Water science and technology library

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Probability and Risk Models Hydrology and Watershed Management Studies Financial Risk and Volatility Modeling

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References

1999An Introduction to Copulas 2001An Introduction to Statistical Modeling of Extreme Values 1938A NEW MEASURE OF RANK CORRELATION 1994Modelling of extremal events in insurance and finance 2002Correlation and Dependence in Risk Management: Properties and Pitfalls 1990The Asymptotic Theory of Extreme Order Statistics 2007Everything You Always Wanted to Know about Copula Modeling but Were Afraid to Ask 2007Goodness-of-fit tests for copulas: A review and a power study

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2009On the construction of multivariate extreme value models via copulasarticle · 11 shared references 2010Copula-Based Measures of Multivariate Associationchapter · 11 shared references 2014Copulas and Copula Modelsother · 11 shared references 2003Tail Dependence from a Distributional Point of Viewarticle · 10 shared references 2010Nonparametric rank-based tests of bivariate extreme-value dependencearticle · 10 shared references 2013An Overview of the Goodness-of-Fit Test Problem for Copulaschapter · 10 shared references

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Year2012

Typechapter

Published2012-09-07

VenueWater science and technology library

ISSN-L0921-092X

Languageen

Citations33

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1007/978-94-007-4479-0_5

openalex_workW88422384

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