Multivariate extremality measure
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- Laniado Rodas, Henry & Lillo Rodríguez, Rosa Elvira & Torres Díaz, Raúl Andrés & Michele, Carlo de, 2016. "Directional multivariate extremes in environmental phenomena," DES - Working Papers. Statistics and Econometrics. WS 23419, Universidad Carlos III de Madrid. Departamento de Estadística.
- Torres, Raúl & Lillo, Rosa E. & Laniado, Henry, 2015. "A directional multivariate value at risk," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 111-123.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-07-03 (All new papers)
- NEP-ECM-2010-07-03 (Econometrics)
- NEP-MIC-2010-07-03 (Microeconomics)
- NEP-RMG-2010-07-03 (Risk Management)
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