Testing the Multivariate Regular Variation Model
From MaRDI portal
(Redirected from Publication:6617812)
Cites work
- A characterization of multivariate regular variation.
- A local moment type estimator for the extreme value index in regression with random covariates
- A moment estimator for the conditional extreme-value index
- Characterization of multivariate heavy-tailed distribution families via copula
- Dependence structure of risk factors and diversification effects
- Estimating a multidimensional extreme-value distribution
- Estimating the spectral measure of an extreme value distribution
- Estimation of Extreme Conditional Quantiles Through Power Transformation
- Estimation of extreme depth-based quantile regions
- Estimation of extreme risk regions under multivariate regular variation
- Estimation of high conditional quantiles for heavy-tailed distributions
- Estimation of the conditional tail index using a smoothed local Hill estimator
- Extreme value theory. An introduction.
- Functional central limit theorems for processes with positive drift and their inverses
- Functional kernel estimators of large conditional quantiles
- Heavy-Tail Phenomena
- scientific article; zbMATH DE number 4005243 (Why is no real title available?)
- scientific article; zbMATH DE number 2042812 (Why is no real title available?)
- Kernel estimators of extreme level curves
- Multivariate extremes and the aggregation of dependent risks: examples and counter-examples
- Multivariate extremes, aggregation and risk estimation
- Nonparametric regression estimation of conditional tails: the random covariate case
- Nonstandard regular variation of in-degree and out-degree in the preferential attachment model
- On kernel smoothing for extremal quantile regression
- On optimal portfolio diversification with respect to extreme risks
- On regular variation of probability densities
- On testing extreme value conditions
- On the Tail Behavior of Sums of Dependent Risks
- Poisson and Gaussian approximation of weighted local empirical processes
- Random difference equations and renewal theory for products of random matrices
- Regular variation of GARCH processes.
- Sample functions of the \(N\)-parameter Wiener process
- Statistics of Extremes
- Statistics of heteroscedastic extremes
- Tail index regression
- Tauberian theory for multivariate regularly varying distributions with application to preferential attachment networks
- The sample autocorrelations of heavy-tailed processes with applications to ARCH
- Uniform asymptotic properties of a nonparametric regression estimator of conditional tails
- Weighted approximations of tail processes for \(\beta\)-mixing random variables.
Cited in
(9)- On extreme quantile region estimation under heavy-tailed elliptical distributions
- Asymptotics for credit portfolio losses due to defaults in a multi-sector model
- Emergence of multivariate extremes in multilayer inhomogeneous random graphs
- Testing the regular variation model for multivariate extremes with flexible circular and spherical distributions
- Portfolio default losses driven by idiosyncratic risks
- Extreme value techniques for stress scenario selection under elliptical symmetry and beyond
- Empirical likelihood based testing for multivariate regular variation
- The conditional higher moment risk measure for extreme risks
- Marginal expected shortfall inference under multivariate regular variation
This page was built for publication: Testing the Multivariate Regular Variation Model
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6617812)
