24 citations · 31 across the 2 of their papers we have counts for
3 papers
On the estimation of extreme directional multivariate quantiles
Raúl Torres, Elena Di Bernardino, Henry Laniado +1
In multivariate extreme value theory (MEVT), the focus is on analysis outside of the observable sampling zone, which implies that the region of interest is associated to high risk…
Directional Multivariate Extremes in Environmental Phenomena
Raúl Torres, Carlo De Michele, Henry Laniado +1
Several environmental phenomena can be described by different correlated variables that must be considered jointly in order to be more representative of the nature of these phenome…
A Directional Multivariate Value at Risk
Raúl Torres, Rosa E. Lillo, Henry Laniado
In economics, insurance and finance, value at risk (VaR) is a widely used measure of the risk of loss on a specific portfolio of financial assets. For a given portfolio, time horiz…