Statistics for near independence in multivariate extreme values

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A method of moments estimator of tail dependence
Estimation of bivariate excess probabilities for elliptical models
Testing the tail-dependence based on the radial component
It was 30 years ago today when Laurens de Haan went the multivariate way
Review of testing issues in extremes: in honor of Professor Laurens de Haan
Testing asymptotic independence in bivariate extremes
Testing the bivariate distribution of daily equity returns using copulas. An application to the Spanish stock market
Extremal financial risk models and portfolio evaluation
Expansions of multivariate Pickands densities and testing the tail dependence
Tails of multivariate Archimedean copulas
Fourier methods for testing multivariate independence
Extremal attractors of Liouville copulas
A nonparametric method for producing isolines of bivariate exceedance probabilities
Bayesian model averaging for multivariate extremes
Asymptotic independence and perfect dependence of vector components of multivariate extreme statistics
Operator tail dependence of copulas
Extreme value analysis of actuarial risks: estimation and model validation
Extreme value modelling of water-related insurance claims
An extreme value analysis of the last century crises across industries in the U.S. economy
Asymmetry in tail dependence in equity portfolios
Extremes of q-Ornstein-Uhlenbeck processes
Inference for asymptotically independent samples of extremes
An analysis of a heuristic procedure to evaluate tail (in)dependence
Tail relation between return and volume in the US stock market: an analysis based on extreme value theory
Implicit extremes and implicit max-stable laws
On a bivariate copula with both upper and lower full-range tail dependence
Bias-corrected and robust estimation of the bivariate stable tail dependence function
Efficient simulation for dependent rare events with applications to extremes
An asymptotic characterization of hidden tail credit risk with actuarial applications
Extremal properties of the multivariate extended skew-normal distribution. Part B
Assessing conditional extremal risk of flooding in Puerto Rico
Bivariate tail estimation: dependence in asymptotic independence
Some comments on the estimation of a dependence index in bivariate extreme value statistics.
On extremal dependence: some contributions
Sparse moving maxima models for tail dependence in multivariate financial time series
Estimation of extreme values by the average conditional exceedance rate method
Tail dependence for regularly varying time series
Estimation of the coefficient of tail dependence in bivariate extremes
Estimating the probability of a rare event
Semi-parametric modeling of excesses above high multivariate thresholds with censored data
Parametric and non-parametric estimation of extreme earthquake event: the joint tail inference for mainshocks and aftershocks
Basin-wide spatial conditional extremes for severe ocean storms
Assessing the risk of disruption of wind turbine operations in Saudi Arabia using Bayesian spatial extremes
Parametric models for distributions when interest is in extremes with an application to daily temperature
A geometric investigation into the tail dependence of vine copulas
Rank-based estimation under asymptotic dependence and independence, with applications to spatial extremes
Extremal dependence measure for functional data
On the tail behaviour of aggregated random variables
Modeling spatial tail dependence with Cauchy convolution processes
Modeling nonstationary temperature maxima based on extremal dependence changing with event magnitude
Modeling spatial extremes using normal mean-variance mixtures
Quantile correlation coefficient: a new tail dependence measure
Asymmetric tail dependence modeling, with application to cryptocurrency market data
Fitting spatial max-mixture processes with unknown extremal dependence class: an exploratory analysis tool
Inference for Archimax copulas
Stationary distributions for two-dimensional sticky Brownian motions: exact tail asymptotics and extreme value distributions
Tail dependence functions of the bivariate Hüsler-Reiss model
Multivariate extreme value theory -- a tutorial
Continuous spatial process models for spatial extreme values
On the estimation and application of max-stable processes
Tail and dependence behavior of levels that persist for a fixed period of time
Tails of correlation mixtures of elliptical copulas
Bayesian inference with \(M\)-splines on spectral measure of bivariate extremes
The distribution of unobserved heterogeneity in competing risks models
Identifying groups of variables with the potential of being large simultaneously
Exceedance-based nonlinear regression of tail dependence
Why scoring functions cannot assess tail properties
The spectrogram: a threshold-based inferential tool for extremes of stochastic processes
Bias correction in multivariate extremes
Extremes of scale mixtures of multivariate time series
A two-step approach to model precipitation extremes in California based on max-stable and marginal point processes
Conditional quantiles and tail dependence
Tail correlation functions of max-stable processes
Four theorems and a financial crisis
Detecting breaks in the dependence of multivariate extreme-value distributions
Multiple risk factor dependence structures: copulas and related properties
Risk analysis of cumulative intraday return curves
On the study of extremes with dependent random right-censoring
Threshold selection for multivariate heavy-tailed data
Quotient correlation: a sample based alternative to Pearson's correlation
A new representation for multivariate tail probabilities
On tail dependence: a characterization for first-order max-autoregressive processes
Expansions and penultimate distributions of maxima of bivariate normal random vectors
Self-consistent estimation of conditional multivariate extreme value distributions
Modeling multiple risks: hidden domain of attraction
Limit laws for random vectors with an extreme component
Measuring the extremal dependence
Modelling dependence uncertainty in the extremes of Markov chain
Characterizations and examples of hidden regular variation
Dependence estimation and visualization in multivariate extremes with applications to financial data
Regular score tests of independence in multivariate extreme values
Testing for tail independence in extreme value models
Joint tail of ECOMOR and LCR reinsurance treaties
A flexible dependence model for spatial extremes
Estimating the tail-dependence coefficient: properties and pitfalls
Likelihood estimators for multivariate extremes
A new random field on lattices
Conex-connect: learning patterns in extremal brain connectivity from multichannel EEG data
Extremal characteristics of conditional models
High-dimensional parametric modelling of multivariate extreme events

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