Extreme Value Distributions: Theory and Applications

By Samuel Kotz, Saralees Nadarajah. 2000

226 citations recorded by the source corpus.

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Citations in the corpus

Copulas: Tales and facts (2006, unknown): “Other named (parametric) multivariate EVDs are given for example in Galambos [8], Chapter 5, or in Kotz and Nadarajah [15], Chapter 3.”
Semi-parametric and Parametric Inference of Extreme Value Models for Rainfall Data (2010, background): “Performing a linear transformation in order to reduce the actual size of large (or small) values is essential to obtain a non-degenerate limiting distribution (see Kotz and Nadarajah 2000).”
Convex geometry of max-stable distributions (2006, unknown): “If d = 2, then A(t), 0 ≤ t ≤ 1, is called the Pickands function, see [21] and for the multivariate case also [12, 21].”
Multivariate Generalized Pareto Distributions (2006, background): “They are extensively discussed by Resnick (1987), Kotz and Nadarajah (2000) and Beirlant et al. (2004) and in the review by Fougères (2004).”
Extreme Value Theory for Finance: A Survey (2012, unknown): “…many books are now available, e.g.: Beirlant et al. (2004); Coles (2001); de Haan and Ferreira (2006); Embrechts et al. (1997); Falk et al. (2004); Finkenstädt and Rootzén (2004); Galambos (1987); Kotz and Nadarajah (2000); Leadbetter et al. (1983); Reiss and Thomas (1997); Resnick (1987).”
Weak convergence of the tail empirical process for dependent sequences (2009, unknown): “There are several recent books on the subject [7,23,26,27,2,34] and a large journal literature.”
The t Copula and Related Copulas (2005, result): “Note also that this result follows easily from a series of very similar characterizations given byTakahashi (1994) which are listed in Kotz & Nadarajah (2000), page.”
Generalized additive modelling of sample extremes (2005, background): “(c) If there are several series related to the same underlying phenomenon, rare events will be correlated across series, and models for joint extremes (Kotz and Nadarajah (2000), chapter 3) are in principle required.”
An introduction to market risk measurement (2002, unknown): “12Since it was first proposed, the Kupiec stress VaR approach has been refined further by Zangari (1998) and Cherubini and Della Lunga (1999): they suggest that we translate our prior views about risk factors into prior estimates of their mean and variance, and then feed these into a VaR calculation”
A mixture model for multivariate extremes (2007, unknown): “It is followed by Leadbetter, Lindgren & Rootzén (1983), a key reference, in which is formally presented extreme value theory for stationary sequences.”
Personal Authentication Using Hand Vein Triangulation and Knuckle Shape (2009, unknown): “model the distribution of real world data has been illustrated in several [29], [30].”
Additivity properties for Value-at-Risk under Archimedean dependence and heavy-tailedness (2009, unknown): “The function gα(·) is well-known and corresponds to the class of logistic distributions; consider for instance the densities hm,c(w) in Kotz and Nadarajah (2000) with ψk,c = 1.”
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).”