1

Detecting a conditional extreme value model

Year:
2011
Language:
english
File:
PDF, 3.19 MB
english, 2011
2

Detecting tail behavior: mean excess plots with confidence bounds

Year:
2016
Language:
english
File:
PDF, 2.61 MB
english, 2016
9

On robust tail index estimation for linear long-memory processes

Year:
2012
Language:
english
File:
PDF, 1.28 MB
english, 2012
16

Four theorems and a financial crisis

Year:
2013
Language:
english
File:
PDF, 1.42 MB
english, 2013
20

Conditioning on an extreme component: Model consistency with regular variation on cones

Year:
2011
Language:
english
File:
PDF, 253 KB
english, 2011
30

Weak limits for exploratory plots in the analysis of extremes

Year:
2013
Language:
english
File:
PDF, 1.80 MB
english, 2013
32

Models with hidden regular variation: Generation and detection

Year:
2015
Language:
english
File:
PDF, 7.16 MB
english, 2015
33

Hidden regular variation under full and strong asymptotic dependence

Year:
2017
Language:
english
File:
PDF, 4.10 MB
english, 2017
39

Models with Hidden Regular Variation: Generation and Detection

Year:
2015
Language:
english
File:
PDF, 2.94 MB
english, 2015
42

Conditional excess risk measures and multivariate regular variation

Year:
2019
Language:
english
File:
PDF, 857 KB
english, 2019
44

Risk concentration under second order regular variation

Year:
2020
File:
PDF, 577 KB
2020