Self-consistent estimation of conditional multivariate extreme value distributions

Journal of Multivariate Analysis

Volumn 127, Issue , 2014, Pages 19-35

  Liu, Y ^a   Tawn, J A ^b  

^a JBA Risk Management Limited   (United Kingdom)

^b LANCASTER UNIVERSITY   (United Kingdom)

Author keywords

Coefficient of tail dependence; Conditional analysis; Multivariate extreme value theory; Quantile regression; Self consistency; The Heffernan Tawn model

Indexed keywords

EID: 84894439232     PISSN: 0047259X     EISSN: 10957243     Source Type: Journal    
DOI: 10.1016/j.jmva.2014.02.003     Document Type: Article

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