Peaks Over Thresholds Modeling With Multivariate Generalized Pareto Distributions

Anna Kiriliouk^*, Holger Rootzén, Johan Segers, Jennifer L. Wadsworth

^*Corresponding author for this work

Econometrics

Research output: Contribution to journal › Article › Academic › peer-review

47 Citations (Scopus)

2 results
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Peaks Over Thresholds Modeling With Multivariate Generalized Pareto Distributions
Kiriliouk, A. (Creator), Rootzén, H. (Creator), Segers, J. (Creator) & Wadsworth, J. L. (Creator), 25 Apr 2019
DOI: 10.6084/m9.figshare.6161177.v3, https://tandf.figshare.com/articles/Peaks_over_thresholds_modelling_with_multivariate_generalized_Pareto_distributions/6161177/3 and 2 more links, https://tandf.figshare.com/articles/Peaks_over_thresholds_modelling_with_multivariate_generalized_Pareto_distributions/6161177, https://tandf.figshare.com/articles/Peaks_over_thresholds_modelling_with_multivariate_generalized_Pareto_distributions/6161177/2 (show fewer)
Dataset
Peaks over thresholds modelling with multivariate generalized Pareto distributions
Kiriliouk, A. (Creator), Rootzén, H. (Creator), Segers, J. (Creator) & Wadsworth, J. L. (Creator), 19 Apr 2018
DOI: 10.6084/m9.figshare.6161177.v1, https://tandf.figshare.com/articles/Peaks_over_thresholds_modelling_with_multivariate_generalized_Pareto_distributions/6161177/1
Dataset