On the foundations of multivariate heavy-tail analysis

By Sidney I. Resnick. Journal of Applied Probability, 2004

72 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Mathematical Physics

View Paper: https://www.semanticscholar.org/paper/6e5ba89847ec339960122b0ad7a6db7f0e3b95d9

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. Paul Embrechts
2. Alexandra Dias
3. Sidney I. Resnick
4. Filip Lindskog
5. Henrik Hult
6. Janet E. Heffernan
7. Andrew J. Patton
8. Claudia Czado

In Finance

1. Sidney I. Resnick
2. Paul Embrechts
3. Alexandra Dias
4. Janet E. Heffernan
5. Filip Lindskog
6. Henrik Hult
7. A. C. Davison
8. Claudia Czado

In Mathematical Physics

1. Paul Embrechts
2. Alexandra Dias
3. Henrik Hult
4. Filip Lindskog
5. Janet E. Heffernan
6. Sidney I. Resnick

Citations in the corpus

• Dynamic copula models for multivariate high-frequency data in finance (2004, methodology): “The theoretical background is to be found in Resnick (2002) and Stărică (1999).”
• Limit Laws for Random Vectors with an Extreme Component (2005, background): “Relating (5) to standard multivariate regular variation allows us to identify the class of possible limit measures [32, 34, 37].”
• Characterizations and Examples of Hidden Regular Variation (2004, unknown): “See Examples 1 and 2 in Resnick (2002b).”
• REGULAR VARIATION FOR MEASURES ON METRIC SPACES (2006, background): “[21] in the sense that the limiting measure μ in the above statements (i)–(v) may be supported in a proper subspace of S.”