4 citations · 15 across the 21 of their papers we have counts for
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Fragility Index of block tailed vectors
Helena Ferreira, Marta Ferreira
Financial crises are a recurrent phenomenon with important effects on the real economy. The financial system is inherently fragile and it is therefore of great importance to be abl…
Extremal dependence: some contributions
Helena Ferreira, Marta Ferreira
Due to globalization and relaxed market regulation, we have assisted to an increasing of extremal dependence in international markets. As a consequence, several measures of tail de…
Multivariate maxima of moving multivariate maxima
Helena Ferreira
We define a class of multivariate maxima of moving multivariate maxima, generalising the M4 processes. For these stationary multivariate time series we characterise the joint distr…
Generalized Logistic Models and its orthant tail dependence
Helena Ferreira, Luísa Pereira
The Multivariate Extreme Value distributions have shown their usefulness in environmental studies, financial and insurance mathematics. The Logistic or Gumbel-Hougaard distribution…
Generalized madogram and pairwise dependence of maxima over two regions of a random field
Cecília Fonseca, Luísa Pereira, Helena Ferreira +1
Spatial environmental processes often exhibit dependence in their large values. In order to model such processes their dependence properties must be characterized and quantified. I…