Sojourn times and the fragility index
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DOI: 10.1016/j.spa.2011.11.009
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References listed on IDEAS
- Michael Falk & Diana Tichy, 2012. "Asymptotic conditional distribution of exceedance counts: fragility index with different margins," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 64(5), pages 1071-1085, October.
- J.L. Geluk & L. de Haan & C.G. de Vries, 2007. "Weak & Strong Financial Fragility," Tinbergen Institute Discussion Papers 07-023/2, Tinbergen Institute.
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- Stefan Aulbach & Michael Falk & Timo Fuller, 2019. "Testing for a $$\delta $$ δ -neighborhood of a generalized Pareto copula," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 71(3), pages 599-626, June.
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More about this item
Keywords
Sojourn time; Fragility index; Max-stable process; Functional domain of attraction; Copula process; Generalized Pareto process; Expected shortfall; Sojourn time distribution; Excursion time;All these keywords.
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