Estimating Extreme Bivariate Quantile Regions
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- Einmahl, J.H.J. & de Haan, L.F.M. & Krajina, A., 2009. "Estimating Extreme Bivariate Quantile Regions," Discussion Paper 2009-29, Tilburg University, Center for Economic Research.
References listed on IDEAS
- Einmahl, J. H.J. & Dekkers, A. L.M. & de Haan, L., 1989. "A moment estimator for the index of an extreme-value distribution," Other publications TiSEM 81970cb3-5b7a-4cad-9bf6-2, Tilburg University, School of Economics and Management.
- Dehaan, L. & Huang, X., 1995. "Large Quantile Estimation in a Multivariate Setting," Journal of Multivariate Analysis, Elsevier, vol. 53(2), pages 247-263, May.
- Einmahl, J.H.J. & Segers, J.J.J., 2008.
"Maximum Empirical Likelihood Estimation of the Spectral Measure of an Extreme Value Distribution,"
Other publications TiSEM
e9340b9a-fe69-4e77-8594-8, Tilburg University, School of Economics and Management.
- Einmahl, J.H.J. & Segers, J.J.J., 2009. "Maximum empirical likelihood estimation of the spectral measure of an extreme-value distribution," Other publications TiSEM ffef2e15-c4a8-471f-b730-1, Tilburg University, School of Economics and Management.
- Einmahl, J.H.J. & Segers, J.J.J., 2008. "Maximum Empirical Likelihood Estimation of the Spectral Measure of an Extreme Value Distribution," Discussion Paper 2008-42, Tilburg University, Center for Economic Research.
- Einmahl, John H. J. & Li, Jun & Liu, Regina Y., 2009. "Thresholding Events of Extreme in Simultaneous Monitoring of Multiple Risks," Journal of the American Statistical Association, American Statistical Association, vol. 104(487), pages 982-992.
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Cited by:
- Marco Rocco, 2011. "Extreme value theory for finance: a survey," Questioni di Economia e Finanza (Occasional Papers) 99, Bank of Italy, Economic Research and International Relations Area.
- Yi He & John H. J. Einmahl, 2017.
"Estimation of extreme depth-based quantile regions,"
Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 79(2), pages 449-461, March.
- He, Y. & Einmahl, J.H.J., 2014. "Estimation of Extreme Depth-Based Quantile Regions," Discussion Paper 2014-035, Tilburg University, Center for Economic Research.
- He, Y. & Einmahl, J.H.J., 2014. "Estimation of Extreme Depth-Based Quantile Regions," Other publications TiSEM d6529c8a-8865-4c03-a064-a, Tilburg University, School of Economics and Management.
- Grothe, Oliver & Korniichuk, Volodymyr & Manner, Hans, 2014. "Modeling multivariate extreme events using self-exciting point processes," Journal of Econometrics, Elsevier, vol. 182(2), pages 269-289.
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