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A conditional approach for multivariate extreme values (with discussion)

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Cited by:

  1. 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.
  2. 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.
  3. 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.
  4. 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.
  5. 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.
  6. 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.
  7. Balakrishnan, N. & Hashorva, E., 2011. "On Pearson-Kotz Dirichlet distributions," Journal of Multivariate Analysis, Elsevier, vol. 102(5), pages 948-957, May.
  8. 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.
  9. 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.
  10. Guus Balkema & Paul Embrechts, 2018. "Linear Regression for Heavy Tails," Risks, MDPI, vol. 6(3), pages 1-70, September.
  11. Li, Haijun, 2009. "Orthant tail dependence of multivariate extreme value distributions," Journal of Multivariate Analysis, Elsevier, vol. 100(1), pages 243-256, January.
  12. 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.
  13. 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.
  14. 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.
  15. 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.
  16. Barme-Delcroix, Marie-Francoise & Gather, Ursula, 2007. "Limit laws for multidimensional extremes," Statistics & Probability Letters, Elsevier, vol. 77(18), pages 1750-1755, December.
  17. Falk, Michael & Padoan, Simone A. & Wisheckel, Florian, 2019. "Generalized Pareto copulas: A key to multivariate extremes," Journal of Multivariate Analysis, Elsevier, vol. 174(C).
  18. 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.
  19. 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.
  20. 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.
  21. 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).
  22. 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.
  23. 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.
  24. 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.
  25. 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.
  26. 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.
  27. 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.
  28. 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.
  29. 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.
  30. 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 Estadística.
  31. Richards, Jordan & Tawn, Jonathan A., 2022. "On the tail behaviour of aggregated random variables," Journal of Multivariate Analysis, Elsevier, vol. 192(C).
  32. 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.
  33. 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.
  34. Jaworski, Piotr, 2015. "Univariate conditioning of vine copulas," Journal of Multivariate Analysis, Elsevier, vol. 138(C), pages 89-103.
  35. 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.
  36. 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.
  37. Jordan Richards & Jennifer L. Wadsworth, 2021. "Spatial deformation for nonstationary extremal dependence," Environmetrics, John Wiley & Sons, Ltd., vol. 32(5), August.
  38. 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.
  39. 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).
  40. Papastathopoulos, Ioannis, 2016. "Conditional independence and conditioned limit laws," Statistics & Probability Letters, Elsevier, vol. 112(C), pages 1-4.
  41. 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.
  42. Murphy-Barltrop, C.J.R. & Wadsworth, J.L., 2024. "Modelling non-stationarity in asymptotically independent extremes," Computational Statistics & Data Analysis, Elsevier, vol. 199(C).
  43. 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.
  44. 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.
  45. 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.
  46. Zhang, Zhengjun & Huang, James, 2006. "Extremal financial risk models and portfolio evaluation," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2313-2338, December.
  47. 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.
  48. 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.
  49. 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.
  50. 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.
  51. 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.
  52. 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.
  53. 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.
  54. 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.
  55. 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).
  56. Michel, René, 2008. "Some notes on multivariate generalized Pareto distributions," Journal of Multivariate Analysis, Elsevier, vol. 99(6), pages 1288-1301, July.
  57. 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.
  58. 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.
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