Cited in
(54)- Threshold selection for extremes under a semiparametric model
- The maximum \(L_q\)-likelihood method: an application to extreme quantile estimation in finance
- Modelling censored losses using splicing: a global fit strategy with mixed Erlang and extreme value distributions
- Financial risk modelling and portfolio optimization with R
- Density approximations and VaR computation for compound Poisson-lognormal distributions
- Optimally robust estimators in generalized Pareto models
- Modeling loss data using mixtures of distributions
- EVIM
- RobLox
- RobASt
- lmom
- POT
- VaR
- RMetrics
- gPdtest
- ismev
- QRM
- evd
- SpatialExtremes
- texmex
- evdbayes
- fExtremes
- TestEVC1d
- ppstat
- lmomco
- MCMC4Extremes
- nsRFA
- smoothtail
- spd
- FRAPO
- VaRES
- ADGofTest
- chron
- extRemes
- evgam
- GUIDE
- evmix
- evt0
- NHPoisson
- Mamba
- fPortfolio
- extremefit
- extremeStat
- extremeIndex
- MCMC4Extremes: an R package for Bayesian inference for extremes and its extensions
- A software review for extreme value analysis
- RobExtremes
- FitDynMix
- Regression estimator for the tail index
- A double generalized Pareto distribution
- ABCExtremes
- eventstudies
- An introduction to analysis of financial data with R.
- An \texttt{R} package for value at risk and expected shortfall
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