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(1)
Extreme Event
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(71)
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Modelling Extremal Events for Insurance and Finance
Modelling Extremal Events for Insurance and Finance,P. Embrechts,T. Mikosch
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Modelling Extremal Events for Insurance and Finance
(
Citations: 593
)
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P. Embrechts
,
T. Mikosch
Published in 1999.
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Citation Context
(201)
...Assumption 1 controls the order of the derivative of L. Examples of slowly varying function that satisfy (
5
) include logx, (logx)2 etc...
Henry Lam
,
et al.
Corrections to the Central Limit Theorem for HeavyTailed Probability ...
...See Leadbetter et al. (1983),
Embrechts et al. (1999)
and Coles (2003) for an introduction to and application of extreme value theory...
Dolores Furió
,
et al.
Analysis of extreme temperatures for four sites across Peninsular Spai...
...The data we fit is called the Danish fire insurance data and appears in aggregated form in Embrechts et al. [
10
], Figure 6.2.11...
Habib Esmaeili
,
et al.
Parameter estimation of a bivariate compound Poisson process
...For more details and further references of extreme value theory we refer to [
6
] or any other extreme value statistics monograph...
...e(u) = β + ξu 1 − ξ , β + ξu > 0; cf. [
6
], Theorem 3.4.13(e)...
Claudia Klüppelberg
,
et al.
Electricity spot price modelling with a view towards extreme spike ris...
...Refer to [
15
; 19; 27] in the onesided case...
Toshiro Watanabe
,
et al.
Ratio of The Tail of An Infinitely Divisible Distribution on The Line ...
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Citations
(593)
Robust estimation of intraweek periodicity in volatility and jump detection
(
Citations: 4
)
Kris Boudt
,
Christophe Croux
,
Sébastien Laurent
Journal:
Journal of Empirical Finance  J EMPIR FINANC
, vol. 18, no. 2, pp. 353367, 2011
A flexible extreme value mixture model
A. MacDonald
,
Carl John Scarrott
,
D. Lee
,
B. Darlow
,
Marco Reale
,
G. Russell
Journal:
Computational Statistics & Data Analysis  CS&DA
, vol. 55, no. 6, pp. 21372157, 2011
On sums of independent random variables whose distributions belong to the max domain of attraction of max stable laws
Sreehari Maddipatla
,
Ravi Sreenivasan
,
Vasudeva Rasbagh
Journal:
Extremes
, vol. 14, no. 3, pp. 267283, 2011
Corrections to the Central Limit Theorem for HeavyTailed Probability Densities
Henry Lam
,
Jose Blanchet
,
Damian Burch
,
Martin Z. Bazant
Published in 2011.
Extreme Measures of Agricultural Financial Risk
John Cotter
,
Kevin Dowd
,
Wyn Morgan
Published in 2011.