4 citations · 6 across the 12 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…
A new estimator for the tail-dependence coefficient
Marta Ferreira
Recently, the concept of tail dependence has been discussed in financial applications related to market or credit risk. The multivariate extreme value theory is a proper tool to me…
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…
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…