Living on the multi-dimensional edge: seeking hidden risks using regular variation

29 August 2011

Papers citing "Living on the multi-dimensional edge: seeking hidden risks using regular variation"

11 / 11 papers shown

Title
Mitigating Extremal Risks: A Network-Based Portfolio Strategy Qian Hui Tiandong Wang 40 1 0 18 Sep 2024
Emergence of Multivariate Extremes in Multilayer Inhomogeneous Random Graphs Daniel Cirkovic Tiandong Wang D. Cline 63 2 0 04 Mar 2024
2RV+HRV and Testing for Strong VS Full Dependence Tiandong Wang Sidney I. Resnick 31 2 0 26 Dec 2023
Concentration bounds for the empirical angular measure with statistical learning applications Stéphan Clémenccon Hamid Jalalzai Stéphane Lhaut Anne Sabourin Johan Segers 55 12 0 07 Apr 2021
Asymptotic independence and support detection techniques for heavy-tailed multivariate data Jaakko Lehtomaa Sidney I. Resnick 33 15 0 01 Apr 2019
Conditional Extreme Value Models: Fallacies and Pitfalls H. Drees Anja Janssen 57 14 0 09 Jun 2016
Risk contagion under regular variation and asymptotic tail independence Bikramjit Das Vicky Fasen-Hartmann 45 34 0 30 Mar 2016
Hidden Regular Variation under Full and Strong Asymptotic Dependence Bikramjit Das Sidney I. Resnick 51 10 0 03 Feb 2016
Bootstrapping Empirical Processes of Cluster Functionals with Application to Extremograms H. Drees 55 15 0 02 Nov 2015
Implicit Extremes and Implicit Max-Stable Laws H. Scheffler Stilian A. Stoev 41 4 0 17 Nov 2014
Modeling Multiple Risks: Hidden Domain of Attraction A. Mitra Sidney I. Resnick 89 5 0 04 Oct 2011