Asymptotic independence and support detection techniques for heavy-tailed multivariate data
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DOI: 10.1016/j.insmatheco.2020.05.002
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Cited by:
- Miriam Hägele & Jaakko Lehtomaa, 2021. "Large Deviations for a Class of Multivariate Heavy-Tailed Risk Processes Used in Insurance and Finance," JRFM, MDPI, vol. 14(5), pages 1-18, May.
- Bikramjit Das & Vicky Fasen-Hartmann, 2023. "Measuring risk contagion in financial networks with CoVaR," Papers 2309.15511, arXiv.org, revised May 2025.
- Qian Hui & Sidney I. Resnick & Tiandong Wang, 2025. "Classification of Extremal Dependence in Financial Markets via Bootstrap Inference," Papers 2506.04656, arXiv.org.
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