Extreme Value Copula is a copula function that models the dependence structure of multivariate extreme events by satisfying the property of max-stability, thereby characterizing the limiting dependence among componentwise maxima of a random vector.
118
Publications
8.5K
Citations
262
Authors
191
Institutions
Publications per year
2017–2026
38
Variants
Extreme Value Copula
Parents
Publications
118
The t Copula and Related Copulas
Stefano Demarta, Alexander J. McNeil · International Statistical Review · 2007 · 959 citations
Statistical Modeling of Spatial Extremes
A. C. Davison, Simone A. Padoan, Mathieu Ribatet · Statistical Science · 2012 · 586 citations · Full text
Non‐parametric Estimation of Tail Dependence
Rafael Schmidt, Ulrich Stadtmüller · Scandinavian Journal of Statistics · 2005 · 341 citations · Full text
Business, Finance, Risk Management +15
1–5 of 118
Authors
262
- JS
7
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- GS
5
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- JY
5
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- CG
4
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- WF
3
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1–5 of 262
Institutions
191
UCLouvain
Louvain-la-Neuve, Belgium
8 h-index
10 publications
715 citations
ETH Zurich
Zurich, Switzerland
6 h-index
7 publications
2.1K citations
University of Salento
Lecce, Italy
4 h-index
5 publications
562 citations
University of Connecticut
Storrs, United States
4 h-index
5 publications
214 citations
Université Laval
Québec, Canada
4 h-index
7 publications
925 citations
Université de Pau et des Pays de l'Adour
Pau, France
3 h-index
3 publications
170 citations
Benha University
Banhā, Egypt
3 h-index
3 publications
98 citations
McGill University
Montreal, Canada
3 h-index
5 publications
197 citations
1–8 of 191
Venues
- Extremes
7 publications · 277 citations
7
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- Canadian Journal of Statistics
CJS · 5 publications · 305 citations
5
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- SSRN Electronic Journal
Repository · 4 publications · 75 citations
4
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- Journal of Multivariate Analysis
3 publications · 99 citations
3
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- The Annals of Statistics
3 publications · 163 citations
3
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1–5