65 citations · 232 across the 16 of their papers we have counts for
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math.ST2019★ 1 cited
Distributionally Robust Inference for Extreme Value-at-Risk
Robert Yuen, Stilian Stoev, Dan Cooley
Under general multivariate regular variation conditions, the extreme Value-at-Risk of a portfolio can be expressed as an integral of a known kernel with respect to a generally unkn…
stat.ME2019
New Exploratory Tools for Extremal Dependence: Chi Networks and Annual Extremal Networks
Whitney K. Huang, Daniel S. Cooley, Imme Ebert-Uphoff +2
Understanding dependence structure among extreme values plays an important role in risk assessment in environmental studies. In this work we propose the network and the annual…