The Modelling of Extreme Events

By D. Sanders. 2005

53 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/053be64739945089df9110c622fc94905f644c72

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Raphaël Huser
2. A. C. Davison
3. Emeric Thibaud
4. Thomas Opitz
5. Marc G. Genton
6. Raphaël de Fondeville
7. Jennifer L. Wadsworth
8. Johan Segers

In Finance

1. Raphaël Huser
2. A. C. Davison
3. Emeric Thibaud
4. Thomas Opitz
5. Marc G. Genton
6. Jennifer L. Wadsworth
7. Sebastian Engelke
8. Johan Segers

In Management Science and Operations Research

1. Raphaël Huser
2. A. C. Davison

Citations in the corpus

• Space–time modelling of extreme events (2012, background): “This result shows that the standard asymptotic normality result for composite likelihoods (Hjort and Varin, 2008; Lindsay, 1988; Godambe and Heyde, 1987; Varin, 2008; Varin and Vidoni, 2005; Cox and Reid, 2004; Padoan et al., 2010) still holds under mild conditions for moderately temporally dependen”
• Longevity Bond Premiums: The Extreme Value Approach and Risk Cubic Pricing (2010, unknown): “See also Klüppelberg and Mikosch (1997), McNeil (1997), McNeil and Frey (2000), Kotz and Nadarajah (2000), and Sanders (2003, 2005).”
• Dynamic Copula Modelling for Value at Risk (2006, unknown): “See, for example, Embrechts, Kluppelberg, and Mikosch (1997), Lucas and Klaassen (1998), Tsay (2002) for a discussion.”