On the Ghoudi, Khoudraji, and Rivest test for extreme‐value dependence
By Noomen Ben Ghorbal, Christian Genest, Johana Nešlehová. 2009
51 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/1450d3d09f385998da4ded6766ee74839446f8de
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
- Jun Yan
- Ivan Kojadinovic
- Johan Segers
- Gordon Gudendorf
- Johanna G. Nevslehov'a
- Christian Genest
- Jean-David Fermanian
- Andrew J. Patton
In Finance
- Jun Yan
- Ivan Kojadinovic
- Johan Segers
- Gordon Gudendorf
- Christian Genest
- Johanna G. Nevslehov'a
- G. Salvadori
- Fabrizio Durante
Citations in the corpus
- Extreme-value copulas (2009, methodology): “In the same paper, equation (13) was used to formulate a test that a copula belongs to the family of extreme-value copulas; see also [38].”
- A goodness-of-fit test for bivariate extreme-value copulas (2011, background): “[1], so are situations in which the dependence structure of a random pair (X,Y ) is well represented by an extreme-value copula, even though X and Y themselves do not necessarily exhibit extreme-value behavior.”