4 citations · 6 across the 12 of their papers we have counts for
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math.ST2011★ 1 cited
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…
math.ST2011
On the penultimate tail behavior of Weibull-type models
Marta Ferreira
The Gumbel max-domain of attraction corresponds to a null tail index which do not distinguish the different tail weights that might exist between distributions within this class. T…
math.ST2011★ 4 cited
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…