Asymptotic conditional distribution of exceedance counts: fragility index with different margins
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DOI: 10.1007/s10463-011-0348-3
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- 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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Cited by:
- Falk, Michael & Hofmann, Martin, 2012. "Sojourn times and the fragility index," Stochastic Processes and their Applications, Elsevier, vol. 122(3), pages 1110-1128.
- Michael Falk, 2023. "Exceedance Counts and GOD’s Order Statistics," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 85(2), pages 1651-1666, August.
- Falk, Michael & Padoan, Simone A. & Wisheckel, Florian, 2019. "Generalized Pareto copulas: A key to multivariate extremes," Journal of Multivariate Analysis, Elsevier, vol. 174(C).
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Keywords
Exceedance over high threshold; Fragility index; Extended fragility index; Multivariate extreme value theory; Peaks-over-threshold approach; Copula; Exceedance cluster length;All these keywords.
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