7 citations · 17 across the 10 of their papers we have counts for
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q-fin.ST2017★ 6 cited
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…
stat.ME2017
Regression Type Models for Extremal Dependence
Linda Mhalla, Miguel de Carvalho, Valérie Chavez-Demoulin
We propose a vector generalized additive modeling framework for taking into account the effect of covariates on angular density functions in a multivariate extreme value context. T…