A sum characterization of hidden regular variation with likelihood inference via expectation-maximization
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Cited by:
- Bikramjit Das & Marie Kratz, 2017. "Diversification benefits under multivariate second order regular variation," Working Papers hal-01520655, HAL.
- Das, Bikramjit & Fasen-Hartmann, Vicky, 2018. "Risk contagion under regular variation and asymptotic tail independence," Journal of Multivariate Analysis, Elsevier, vol. 165(C), pages 194-215.
- Das, Bikramjit & Kratz, Marie, 2017. "Diversification benefits under multivariate second order regular variation," ESSEC Working Papers WP1706, ESSEC Research Center, ESSEC Business School.
- Das Bikramjit & Fasen-Hartmann Vicky, 2019. "Conditional excess risk measures and multivariate regular variation," Statistics & Risk Modeling, De Gruyter, vol. 36(1-4), pages 1-23, December.
- Tankov, Peter, 2016. "Tails of weakly dependent random vectors," Journal of Multivariate Analysis, Elsevier, vol. 145(C), pages 73-86.
- Bikramjit Das & Vicky Fasen, 2016. "Risk contagion under regular variation and asymptotic tail independence," Papers 1603.09406, arXiv.org, revised Apr 2017.
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