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A conditional approach for multivariate extreme values (with discussion)
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Cited by:
- Rhee, S. Ghon & Wu, Feng (Harry), 2020. "Conditional extreme risk, black swan hedging, and asset prices," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 412-435.
- Keef, Caroline & Papastathopoulos, Ioannis & Tawn, Jonathan A., 2013. "Estimation of the conditional distribution of a multivariate variable given that one of its components is large: Additional constraints for the Heffernan and Tawn model," Journal of Multivariate Analysis, Elsevier, vol. 115(C), pages 396-404.
- Stan Tendijck & Philip Jonathan & David Randell & Jonathan Tawn, 2024. "Temporal evolution of the extreme excursions of multivariate k$$ k $$th order Markov processes with application to oceanographic data," Environmetrics, John Wiley & Sons, Ltd., vol. 35(3), May.
- Cooley, Daniel & Davis, Richard A. & Naveau, Philippe, 2010. "The pairwise beta distribution: A flexible parametric multivariate model for extremes," Journal of Multivariate Analysis, Elsevier, vol. 101(9), pages 2103-2117, October.
- Caston Sigauke & Thakhani Ravele & Lordwell Jhamba, 2022. "Extremal Dependence Modelling of Global Horizontal Irradiance with Temperature and Humidity: An Application Using South African Data," Energies, MDPI, vol. 15(16), pages 1-25, August.
- Caroline Keef & Jonathan Tawn & Cecilia Svensson, 2009. "Spatial risk assessment for extreme river flows," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 58(5), pages 601-618, December.
- Balakrishnan, N. & Hashorva, E., 2011. "On Pearson-Kotz Dirichlet distributions," Journal of Multivariate Analysis, Elsevier, vol. 102(5), pages 948-957, May.
- Rob Lamb & Paige Garside & Raghav Pant & Jim W. Hall, 2019. "A Probabilistic Model of the Economic Risk to Britain's Railway Network from Bridge Scour During Floods," Risk Analysis, John Wiley & Sons, vol. 39(11), pages 2457-2478, November.
- Sim, Nicholas, 2016. "Modeling the dependence structures of financial assets through the Copula Quantile-on-Quantile approach," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 31-45.
- Guus Balkema & Paul Embrechts, 2018. "Linear Regression for Heavy Tails," Risks, MDPI, vol. 6(3), pages 1-70, September.
- Li, Haijun, 2009. "Orthant tail dependence of multivariate extreme value distributions," Journal of Multivariate Analysis, Elsevier, vol. 100(1), pages 243-256, January.
- M. Ghil & Pascal Yiou & Stéphane Hallegatte & B. D. Malamud & P. Naveau & A. Soloviev & P. Friederichs & V. Keilis-Borok & D. Kondrashov & V. Kossobokov & O. Mestre & C. Nicolis & H. W. Rust & P. Sheb, 2011. "Extreme events: dynamics, statistics and prediction," Post-Print hal-00716514, HAL.
- Refk Selmi & Christos Kollias & Stephanos Papadamou & Rangan Gupta, 2017. "A Copula-Based Quantile-on-Quantile Regression Approach to Modeling Dependence Structure between Stock and Bond Returns: Evidence from Historical Data of India, South Africa, UK and US," Working Papers 201747, University of Pretoria, Department of Economics.
- Martin Eling & Thomas Parnitzke, 2007. "Dynamic Financial Analysis: Classification, Conception, and Implementation," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 10(1), pages 33-50, March.
- Papastathopoulos, Ioannis & Tawn, Jonathan A., 2016. "Conditioned limit laws for inverted max-stable processes," Journal of Multivariate Analysis, Elsevier, vol. 150(C), pages 214-228.
- Barme-Delcroix, Marie-Francoise & Gather, Ursula, 2007. "Limit laws for multidimensional extremes," Statistics & Probability Letters, Elsevier, vol. 77(18), pages 1750-1755, December.
- Falk, Michael & Padoan, Simone A. & Wisheckel, Florian, 2019. "Generalized Pareto copulas: A key to multivariate extremes," Journal of Multivariate Analysis, Elsevier, vol. 174(C).
- Xianling Ren & Xinping Yu, 2024. "Hedging performance analysis of energy markets: Evidence from copula quantile regression," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(3), pages 432-450, March.
- Balkema, A.A. & Embrechts, P. & Nolde, N., 2010. "Meta densities and the shape of their sample clouds," Journal of Multivariate Analysis, Elsevier, vol. 101(7), pages 1738-1754, August.
- Klaus Schneeberger & Matthias Huttenlau & Benjamin Winter & Thomas Steinberger & Stefan Achleitner & Johann Stötter, 2019. "A Probabilistic Framework for Risk Analysis of Widespread Flood Events: A Proof‐of‐Concept Study," Risk Analysis, John Wiley & Sons, vol. 39(1), pages 125-139, January.
- Kresning, Boma & Hashemi, M. Reza & Shirvani, Amin & Hashemi, Javad, 2024. "Uncertainty of extreme wind and wave loads for marine renewable energy farms in hurricane-prone regions," Renewable Energy, Elsevier, vol. 220(C).
- R. Shooter & E. Ross & A. Ribal & I. R. Young & P. Jonathan, 2021. "Spatial dependence of extreme seas in the North East Atlantic from satellite altimeter measurements," Environmetrics, John Wiley & Sons, Ltd., vol. 32(4), June.
- Sabourin, Anne & Naveau, Philippe, 2014. "Bayesian Dirichlet mixture model for multivariate extremes: A re-parametrization," Computational Statistics & Data Analysis, Elsevier, vol. 71(C), pages 542-567.
- Francesco Serinaldi & Chris G. Kilsby, 2017. "A Blueprint for Full Collective Flood Risk Estimation: Demonstration for European River Flooding," Risk Analysis, John Wiley & Sons, vol. 37(10), pages 1958-1976, October.
- Hussain Shahzad, Syed Jawad & Raza, Naveed & Shahbaz, Muhammad & Ali, Azwadi, 2017.
"Dependence of stock markets with gold and bonds under bullish and bearish market states,"
Resources Policy, Elsevier, vol. 52(C), pages 308-319.
- Shahzad, Syed Jawad Hussain & Raza, Naveed & Shahbaz, Muhammad & Ali, Azwadi, 2017. "Dependence of Stock Markets with Gold and Bonds under Bullish and Bearish Market States," MPRA Paper 78595, University Library of Munich, Germany, revised 15 Apr 2017.
- B. Winter & K. Schneeberger & M. Huttenlau & J. Stötter, 2018. "Sources of uncertainty in a probabilistic flood risk model," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 91(2), pages 431-446, March.
- Déborah Idier & Jérémy Rohmer & Rodrigo Pedreros & Sylvestre Roy & Jérome Lambert & Jessie Louisor & Gonéri Cozannet & Erwan Cornec, 2020. "Coastal flood: a composite method for past events characterisation providing insights in past, present and future hazards—joining historical, statistical and modelling approaches," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 101(2), pages 465-501, March.
- Ali Razmi & Saeed Golian & Zahra Zahmatkesh, 2017. "Non-Stationary Frequency Analysis of Extreme Water Level: Application of Annual Maximum Series and Peak-over Threshold Approaches," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 31(7), pages 2065-2083, May.
- Anne‐Laure Fougères & John P. Nolan & Holger Rootzén, 2009. "Models for Dependent Extremes Using Stable Mixtures," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 36(1), pages 42-59, March.
- Michele, Carlo de & Laniado Rodas, Henry, 2016. "Directional multivariate extremes in environmental phenomena," DES - Working Papers. Statistics and Econometrics. WS 23419, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Richards, Jordan & Tawn, Jonathan A., 2022. "On the tail behaviour of aggregated random variables," Journal of Multivariate Analysis, Elsevier, vol. 192(C).
- Kereszturi, Mónika & Tawn, Jonathan, 2017. "Properties of extremal dependence models built on bivariate max-linearity," Journal of Multivariate Analysis, Elsevier, vol. 155(C), pages 52-71.
- Raphaël de Fondeville & Anthony C. Davison, 2022. "Functional peaks‐over‐threshold analysis," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 84(4), pages 1392-1422, September.
- Jaworski, Piotr, 2015. "Univariate conditioning of vine copulas," Journal of Multivariate Analysis, Elsevier, vol. 138(C), pages 89-103.
- Hugo C. Winter & Jonathan A. Tawn, 2016. "Modelling heatwaves in central France: a case-study in extremal dependence," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 65(3), pages 345-365, April.
- J. L. Wadsworth & J. A. Tawn & A. C. Davison & D. M. Elton, 2017. "Modelling across extremal dependence classes," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 79(1), pages 149-175, January.
- Jordan Richards & Jennifer L. Wadsworth, 2021. "Spatial deformation for nonstationary extremal dependence," Environmetrics, John Wiley & Sons, Ltd., vol. 32(5), August.
- Emma F. Eastoe & Jonathan A. Tawn, 2009. "Modelling non‐stationary extremes with application to surface level ozone," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 58(1), pages 25-45, February.
- Simpson, Emma S. & Wadsworth, Jennifer L. & Tawn, Jonathan A., 2021. "A geometric investigation into the tail dependence of vine copulas," Journal of Multivariate Analysis, Elsevier, vol. 184(C).
- Papastathopoulos, Ioannis, 2016. "Conditional independence and conditioned limit laws," Statistics & Probability Letters, Elsevier, vol. 112(C), pages 1-4.
- Kui Xu & Chenyue Wang & Lingling Bin, 2023. "Compound flood models in coastal areas: a review of methods and uncertainty analysis," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 116(1), pages 469-496, March.
- Murphy-Barltrop, C.J.R. & Wadsworth, J.L., 2024. "Modelling non-stationarity in asymptotically independent extremes," Computational Statistics & Data Analysis, Elsevier, vol. 199(C).
- Robert A. Jane & David J. Simmonds & Ben P. Gouldby & Jonathan D. Simm & Luciana Dalla Valle & Alison C. Raby, 2018. "Exploring the Potential for Multivariate Fragility Representations to Alter Flood Risk Estimates," Risk Analysis, John Wiley & Sons, vol. 38(9), pages 1847-1870, September.
- Lee, J. & Fan, Y. & Sisson, S.A., 2015. "Bayesian threshold selection for extremal models using measures of surprise," Computational Statistics & Data Analysis, Elsevier, vol. 85(C), pages 84-99.
- Marmai, Nadin & Franco Villoria, Maria & Guerzoni, Marco, 2016.
"How the Black Swan damages the harvest: statistical modelling of extreme events in weather and crop production in Africa, Asia, and Latin America,"
Department of Economics and Statistics Cognetti de Martiis LEI & BRICK - Laboratory of Economics of Innovation "Franco Momigliano", Bureau of Research in Innovation, Complexity and Knowledge, Collegio
201605, University of Turin.
- Marmai, Nadin & Franco Villoria, Maria & Guerzoni, Marco, 2016. "How the Black Swan damages the harvest: statistical modelling of extreme events in weather and crop production in Africa, Asia, and Latin America," Department of Economics and Statistics Cognetti de Martiis. Working Papers 201608, University of Turin.
- Zhang, Zhengjun & Huang, James, 2006. "Extremal financial risk models and portfolio evaluation," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2313-2338, December.
- Liu, Y. & Tawn, J.A., 2014. "Self-consistent estimation of conditional multivariate extreme value distributions," Journal of Multivariate Analysis, Elsevier, vol. 127(C), pages 19-35.
- de Valk, Cees, 2016. "A large deviations approach to the statistics of extreme events," Other publications TiSEM 117b3ba0-0e40-4277-b25e-d, Tilburg University, School of Economics and Management.
- Alexandra Ramos & Anthony Ledford, 2009. "A new class of models for bivariate joint tails," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 71(1), pages 219-241, January.
- Tong Siu Tung Wong & Wai Keung Li, 2015. "Extreme values identification in regression using a peaks-over-threshold approach," Journal of Applied Statistics, Taylor & Francis Journals, vol. 42(3), pages 566-576, March.
- Daniel Maposa & Anna M. Seimela & Caston Sigauke & James J. Cochran, 2021. "Modelling temperature extremes in the Limpopo province: bivariate time-varying threshold excess approach," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 107(3), pages 2227-2246, July.
- Panagiota Galiatsatou & Christos Makris & Panayotis Prinos & Dimitrios Kokkinos, 2019. "Nonstationary joint probability analysis of extreme marine variables to assess design water levels at the shoreline in a changing climate," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 98(3), pages 1051-1089, September.
- Marmai, Nadine, 2016. "Farmers’ investments in innovative technologies in times of precipitation extremes: A statistical analysis for rural Tanzania," Department of Economics and Statistics Cognetti de Martiis. Working Papers 201617, University of Turin.
- Lee Fawcett & David Walshaw, 2014. "Estimating the probability of simultaneous rainfall extremes within a region: a spatial approach," Journal of Applied Statistics, Taylor & Francis Journals, vol. 41(5), pages 959-976, May.
- Hentschel, Manuel & Engelke, Sebastian & Segers, Johan, 2022. "Statistical Inference for Hüsler–Reiss Graphical Models Through Matrix Completions," LIDAM Discussion Papers ISBA 2022032, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Michel, René, 2008. "Some notes on multivariate generalized Pareto distributions," Journal of Multivariate Analysis, Elsevier, vol. 99(6), pages 1288-1301, July.
- Daniela Castro Camilo & Miguel de Carvalho & Jennifer Wadsworth, 2017. "Time-Varying Extreme Value Dependence with Application to Leading European Stock Markets," Papers 1709.01198, arXiv.org.
- C. J. R. Murphy‐Barltrop & J. L. Wadsworth & E. F. Eastoe, 2023. "New estimation methods for extremal bivariate return curves," Environmetrics, John Wiley & Sons, Ltd., vol. 34(5), August.