Bivariate extreme statistics, I
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DOI: 10.1007/BF01682329
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- Tiwari, Aviral Kumar & Trabelsi, Nader & Alqahtani, Faisal & Raheem, Ibrahim D., 2020. "Systemic risk spillovers between crude oil and stock index returns of G7 economies: Conditional value-at-risk and marginal expected shortfall approaches," Energy Economics, Elsevier, vol. 86(C).
- Echaust, Krzysztof, 2021. "Asymmetric tail dependence between stock market returns and implied volatility," The Journal of Economic Asymmetries, Elsevier, vol. 23(C).
- Monica Billio & Lorenzo Frattarolo & Dominique Guegan, 2017.
"Multivariate Reflection Symmetry of Copula Functions,"
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers)
halshs-01592147, HAL.
- Monica Billio & Lorenzo Frattarolo & Dominique Guegan, 2017. "Multivariate Reflection Symmetry of Copula Functions," Post-Print halshs-01592147, HAL.
- Monica Billio & Lorenzo Frattarolo & Dominique Guegan, 2017. "Multivariate Reflection Symmetry of Copula Functions," Documents de travail du Centre d'Economie de la Sorbonne 17033, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Markus Haas, 2018. "A note on the absolute moments of the bivariate normal distribution," Economics Bulletin, AccessEcon, vol. 38(1), pages 650-656.
- Matias Heikkila & Yves Dominicy & Sirkku Pauliina Ilmonen, 2015. "Multivariate extremes based on a notion of radius," Working Papers ECARES ECARES 2015-49, ULB -- Universite Libre de Bruxelles.
- Moore, Kyle & Zhou, Chen, 2013. ""Too big to fail" or "Too non-traditional to fail"?: The determinants of banks' systemic importance," MPRA Paper 45589, University Library of Munich, Germany.
- Qin, Xiao & Zhou, Chunyang, 2019. "Financial structure and determinants of systemic risk contribution," Pacific-Basin Finance Journal, Elsevier, vol. 57(C).
- Russell Brook T. & Hogan Paul, 2018. "Analyzing dependence matrices to investigate relationships between national football league combine event performances," Journal of Quantitative Analysis in Sports, De Gruyter, vol. 14(4), pages 201-212, December.
- Brook T. Russell & Whitney K. Huang, 2021. "Modeling short‐ranged dependence in block extrema with application to polar temperature data," Environmetrics, John Wiley & Sons, Ltd., vol. 32(3), May.
- Tsai, Ming-Tien & Sen, Pranab Kumar, 2010. "Entropy based constrained inference for some HDLSS genomic models: UI tests in a Chen-Stein perspective," Journal of Multivariate Analysis, Elsevier, vol. 101(7), pages 1559-1573, August.
- Hofert, Marius & Vrins, Frédéric, 2013.
"Sibuya copulas,"
Journal of Multivariate Analysis, Elsevier, vol. 114(C), pages 318-337.
- Marius Hofert & Frederic Vrins, 2010. "Sibuya copulas," Papers 1008.2292, arXiv.org.
- Hofert, Marius & Vrins, Frédéric, 2013. "Sibuya copulas," LIDAM Reprints LFIN 2013003, Université catholique de Louvain, Louvain Finance (LFIN).
- Sen, Pranab K. & Kang, Moonsu, 2013. "Bivariate high-level exceedance and the Chen–Stein theorem in genomics multiple hypothesis testing perspectives," Statistics & Probability Letters, Elsevier, vol. 83(7), pages 1725-1730.
- Dalia Ghanem & D'esir'e K'edagni & Ismael Mourifi'e, 2023. "Evaluating the Impact of Regulatory Policies on Social Welfare in Difference-in-Difference Settings," Papers 2306.04494, arXiv.org, revised Jun 2023.
- Victor Chernozhukov & Ivan Fernandez-Val & Siyi Luo, 2023. "Distribution regression with sample selection and UK wage decomposition," CeMMAP working papers 09/23, Institute for Fiscal Studies.
- Moore, Kyle & Zhou, Chen, 2014. "The determinants of systemic importance," LSE Research Online Documents on Economics 59289, London School of Economics and Political Science, LSE Library.
- Victor Chernozhukov & Iv'an Fern'andez-Val & Siyi Luo, 2018.
"Distribution Regression with Sample Selection, with an Application to Wage Decompositions in the UK,"
Papers
1811.11603, arXiv.org, revised Dec 2023.
- Victor Chernozhukov & Ivan Fernandez-Val & Siyi Luo, 2018. "Distribution regression with sample selection, with an application to wage decompositions in the UK," CeMMAP working papers CWP68/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Furman, Edward & Kuznetsov, Alexey & Su, Jianxi & Zitikis, Ričardas, 2016. "Tail dependence of the Gaussian copula revisited," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 97-103.
- Yang, Xipei & Frees, Edward W. & Zhang, Zhengjun, 2011. "A generalized beta copula with applications in modeling multivariate long-tailed data," Insurance: Mathematics and Economics, Elsevier, vol. 49(2), pages 265-284, September.
- Huang, J.S. & Dou, Xiaoling & Kuriki, Satoshi & Lin, G.D., 2013. "Dependence structure of bivariate order statistics with applications to Bayramoglu’s distributions," Journal of Multivariate Analysis, Elsevier, vol. 114(C), pages 201-208.
- Tankov, Peter, 2016. "Tails of weakly dependent random vectors," Journal of Multivariate Analysis, Elsevier, vol. 145(C), pages 73-86.
- Zhang, Zhengjun & Zhu, Bin, 2016. "Copula structured M4 processes with application to high-frequency financial data," Journal of Econometrics, Elsevier, vol. 194(2), pages 231-241.
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