65 citations · 240 across the 21 of their papers we have counts for
3 papers · 1 filter
Time-Varying Extreme Value Dependence with Application to Leading European Stock Markets
Daniela Castro Camilo, Miguel de Carvalho, Jennifer Wadsworth
Extremal dependence between international stock markets is of particular interest in today's global financial landscape. However, previous studies have shown this dependence is not…
Multivariate generalized Pareto distributions: parametrizations, representations, and properties
Holger Rootzén, Johan Segers, Jennifer L. Wadsworth
Multivariate generalized Pareto distributions arise as the limit distributions of exceedances over multivariate thresholds of random vectors in the domain of attraction of a max-st…
Modeling spatial processes with unknown extremal dependence class
Raphaël G. Huser, Jennifer L. Wadsworth
Many environmental processes exhibit weakening spatial dependence as events become more extreme. Well-known limiting models, such as max-stable or generalized Pareto processes, can…