Discussion of ‘On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures’ (Q5880059): Difference between revisions

Latest revision as of 15:04, 31 July 2024

scientific article; zbMATH DE number 7660250

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English	Discussion of ‘On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures’	scientific article; zbMATH DE number 7660250

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instance of

scholarly article

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title

Discussion of ‘On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures’ (English)

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Statistical Theory and Related Fields

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publication date

7 March 2023

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/24754269.2020.1869897

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cites work

Automated threshold selection for extreme value analysis via ordered goodness-of-fit tests with adjustment for false discovery rate

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Models with hidden regular variation: Generation and detection

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Hidden regular variation under full and strong asymptotic dependence

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The extremogram: a correlogram for extreme events

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Q5272726

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Asymptotic efficiency of the two-stage estimation method for copula-based models

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Extremal dependence measure and extremogram: the regularly varying case

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Diagnostics for Dependence within Time Series Extremes

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Asymptotic independence and support detection techniques for heavy-tailed multivariate data

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On a measure of lack of fit in time series models

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The Extremal Dependence Measure and Asymptotic Independence

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Heavy-Tail Phenomena

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Q5272724

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On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures

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Q5272720

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Identifiers

DOI

10.1080/24754269.2020.1869897

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5880059

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+Automated threshold selection for extreme value analysis via ordered goodness-of-fit tests with adjustment for false discovery rate
+Normal rank
@@ Property / cites work @@
+Models with hidden regular variation: Generation and detection
+Normal rank
@@ Property / cites work @@
+Hidden regular variation under full and strong asymptotic dependence
+Normal rank
@@ Property / cites work @@
+The extremogram: a correlogram for extreme events
@@ Property / cites work: The extremogram: a correlogram for extreme events / rank @@
+Normal rank
@@ Property / cites work @@
+Q5272726
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+Normal rank
@@ Property / cites work @@
+Asymptotic efficiency of the two-stage estimation method for copula-based models
+Normal rank
@@ Property / cites work @@
+Extremal dependence measure and extremogram: the regularly varying case
+Normal rank
@@ Property / cites work @@
+Diagnostics for Dependence within Time Series Extremes
+Normal rank
@@ Property / cites work @@
+Asymptotic independence and support detection techniques for heavy-tailed multivariate data
+Normal rank
@@ Property / cites work @@
+On a measure of lack of fit in time series models
@@ Property / cites work: On a measure of lack of fit in time series models / rank @@
+Normal rank
@@ Property / cites work @@
+The Extremal Dependence Measure and Asymptotic Independence
+Normal rank
@@ Property / cites work @@
+Heavy-Tail Phenomena
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+Normal rank
@@ Property / cites work @@
+Q5272724
@@ Property / cites work: Q5272724 / rank @@
+Normal rank
@@ Property / cites work @@
+On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures
+Normal rank
@@ Property / cites work @@
+Q5272720
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