Dependence measures for extreme value analyses
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(only showing first 100 items - show all)- Testing the tail-dependence based on the radial component
- Convex geometry of max-stable distributions
- On functional central limit theorems for dependent, heterogeneous arrays with applications to tail index and tail dependence estimation
- Expansions of multivariate Pickands densities and testing the tail dependence
- Tails of multivariate Archimedean copulas
- Extremes of associated variables.
- Extreme value modelling of water-related insurance claims
- Domination of sample maxima and related extremal dependence measures
- Estimating the extremal index through local dependence
- A Bayesian hierarchical model for spatial extremes with multiple durations
- An analysis of a heuristic procedure to evaluate tail (in)dependence
- A new class of bivariate copulas: dependence measures and properties
- An asymptotic characterization of hidden tail credit risk with actuarial applications
- Copula-based mixed models for bivariate rainfall data: an empirical study in regression perspective
- Liquidity tail risk and credit default swap spreads
- On Pickands coordinates in arbitrary dimensions
- Bivariate tail estimation: dependence in asymptotic independence
- On the distribution of Pickands coordinates in bivariate EV and GP models
- Forecaster's dilemma: extreme events and forecast evaluation
- ABC model selection for spatial extremes models applied to south Australian maximum temperature data
- On extremal dependence: some contributions
- Tail dependence for regularly varying time series
- Nonparametric estimation of multivariate tail probabilities and tail dependence coefficients
- Absolute continuous bivariate generalized exponential distribution
- Bayesian space-time gap filling for inference on extreme hot-spots: an application to Red Sea surface temperatures
- Basin-wide spatial conditional extremes for severe ocean storms
- A geometric investigation into the tail dependence of vine copulas
- Semiparametric estimation for space-time max-stable processes: an \(F\)-madogram-based approach
- Rank-based estimation under asymptotic dependence and independence, with applications to spatial extremes
- On the evaluation of risk models with bivariate integer-valued time series
- Extremal dependence measure for functional data
- On the tail behaviour of aggregated random variables
- Modeling spatial extremes using normal mean-variance mixtures
- Examining interconnectedness between media attention and cryptocurrency markets: a transfer entropy story
- Fitting spatial max-mixture processes with unknown extremal dependence class: an exploratory analysis tool
- Inference for Archimax copulas
- Modelling joint behaviour of asset prices using stochastic correlation
- Tail dependence functions of the bivariate Hüsler-Reiss model
- Spatio-temporal modelling of extreme storms
- Continuous spatial process models for spatial extreme values
- New exploratory tools for extremal dependence: \(\chi \) networks and annual extremal networks
- Financial risk measures for a network of individual agents holding portfolios of light-tailed objects
- Tails of correlation mixtures of elliptical copulas
- On the information in extreme measurements for parameter estimation
- Semiparametric bivariate modelling with flexible extremal dependence
- Identifying groups of variables with the potential of being large simultaneously
- On functional records and champions
- Exceedance-based nonlinear regression of tail dependence
- Generalized exponential geometric extreme distribution
- An exceptional max-stable process fully parameterized by its extremal coefficients
- Ruin with insurance and financial risks following the least risky FGM dependence structure
- Expansions for bivariate copulas
- Conditional quantiles and tail dependence
- On an interaction function for copulas
- Tail correlation functions of max-stable processes
- Nonparametric estimation of general multivariate tail dependence and applications to financial time series
- The realization problem for tail correlation functions
- Multiple risk factor dependence structures: copulas and related properties
- Impact of dependence on some multivariate risk indicators
- Multiple risk factor dependence structures: distributional properties
- Model robust inference with two-stage maximum likelihood estimation for copulas
- On tail dependence: a characterization for first-order max-autoregressive processes
- A multivariate aggregate loss model
- Tail asymptotics for the sum of two heavy-tailed dependent risks
- Measuring the extremal dependence
- Modelling dependence uncertainty in the extremes of Markov chain
- Characterizations and examples of hidden regular variation
- On the generation of a multivariate extreme value distribution with prescribed tail dependence parameter matrix
- Testing for tail independence in extreme value models
- Randomly weighted sums with dominated varying-tailed increments and application to risk theory
- A flexible dependence model for spatial extremes
- Estimating the tail-dependence coefficient: properties and pitfalls
- Extremes on river networks
- Conex-connect: learning patterns in extremal brain connectivity from multichannel EEG data
- Extremal characteristics of conditional models
- Extremal properties of the skew-t distribution
- High-dimensional parametric modelling of multivariate extreme events
- A Markov-switching model for heat waves
- The joint distribution of stock returns is not elliptical
- Extremal behavior of Archimedean copulas
- An alternative point process framework for modeling multivariate extreme values
- Hidden regular variation and detection of hidden risks
- The Extremal Dependence Measure and Asymptotic Independence
- Modeling operational risk: estimation and effects of dependencies
- Non-parametric estimators of multivariate extreme dependence functions
- Empirical estimation of tail dependence using copulas: application to Asian markets
- Non-parametric Estimation of Tail Dependence
- The t Copula and Related Copulas
- Tail dependence of the Gaussian copula revisited
- A new class of models for bivariate joint tails
- Aspects of dependence in Cuadras-Auge family
- Regular Variation and Extremal Dependence of GARCH Residuals with Application to Market Risk Measures
- Geometric interpretation of the residual dependence coefficient
- Strength of tail dependence based on conditional tail expectation
- Bivariate rainfall and runoff analysis using entropy and copula theories
- Universal behaviour of extreme value statistics for selected observables of dynamical systems
- Approximate Bayesian computing for spatial extremes
- Penalized likelihood inference in extreme value analyses
- Paths and indices of maximal tail dependence
- Tail approximation for reinsurance portfolios of Gaussian-like risks
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