Estimating a bivariate tail: A copula based approach-Reference-Cited by-同舟云学术

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Estimating a bivariate tail: A copula based approach

Published:2013-08 Issue: Volume:119 Page:81-100
ISSN:0047-259X
Container-title:Journal of Multivariate Analysis
language:en
Short-container-title:Journal of Multivariate Analysis

Author:

Di Bernardino Elena,Maume-Deschamps Véronique,Prieur Clémentine

Funder

French research national agency (ANR)

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Numerical Analysis,Statistics and Probability

Reference47 articles.

1. Residual life time at great age;Balkema;Ann. Probab.,1974

2. Bias-reduced estimators for bivariate tail modelling;Beirlant;Insurance Math. Econom.,2011

3. Statistics of Extremes: Theory and Applications;Beirlant,2004

4. Dynamic copula models for the spark spread;Benth;Quant. Finance,2011

5. Estimation of a bivariate extreme value distribution;Capéraà;Extremes,2000

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4. An event-based approach for extreme joint probabilities of waves and sea levels;Coastal Engineering;2017-04

5. Risk Analysis, Extremes in;Wiley StatsRef: Statistics Reference Online;2015-09-16

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