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Asymptotics of joint maxima for discontinuous random variables

Feidt, A. ; Genest, Chr ; Nešlehová, J.

In: Extremes, 2010, vol. 13, no. 1, p. 35-53

Convex geometry of max-stable distributions

Molchanov, Ilya

In: Extremes, 2008, vol. 11, no. 3, p. 235-259

Testing for Concordance Ordering

Cebrián, Ana C. ; Denuit, Michel ; Scaillet, Olivier

In: ASTIN Bulletin, 2004, vol. 34, no. 1, p. 151-173

Constrained nonparametric dependence with application in finance

Gagliardini, Patrick ; Barone-Adesi, Giovanni (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2003 ; 2003ECO002.

The developments of financial theory in the last decades have shown that one of the most fundamental topics in Finance is the specification of dependence between different risk variables. Empirical evidence on financial time series (such as returns, interest rates, or exchange rates) as well as recent developments in risk management (such as the analysis of dependence between default risks of...