Peaks-over-threshold stability of multivariate generalized Pareto distributions
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- Michael Falk & René Michel, 2006. "Testing for Tail Independence in Extreme Value models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 58(2), pages 261-290, June.
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Cited by:
- Indranil Ghosh & Osborne Banks, 2021. "A Study of Bivariate Generalized Pareto Distribution and its Dependence Structure Among Model Parameters," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 83(2), pages 575-604, November.
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Keywords
Peaks-over-threshold stability Multivariate extreme value distribution Multivariate generalized Pareto distribution Excess distribution Linear portfolio Expected shortfall;Statistics
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