3
H index
2
i10 index
60
Citations
Vrije Universiteit Amsterdam | 3 H index 2 i10 index 60 Citations RESEARCH PRODUCTION: 3 Articles 5 Papers RESEARCH ACTIVITY: 9 years (2011 - 2020). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pca1603 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Juan-Juan Cai. | Is cited by: | Cites to: |
Year | Title of citing document |
---|---|
2023 | The Estimation Risk in Extreme Systemic Risk Forecasts. (2023). Hoga, Yannick. In: Papers. RePEc:arx:papers:2304.10349. Full description at Econpapers || Download paper |
2023 | Tail Risk and Systemic Risk Estimation of Cryptocurrencies: an Expectiles and Marginal Expected Shortfall based approach. (2023). Teruzzi, Andrea. In: Papers. RePEc:arx:papers:2311.17239. Full description at Econpapers || Download paper |
2023 | A Weissman-type estimator of the conditional marginal expected shortfall. (2023). Qin, Jing ; le Ho, Nguyen Khanh ; Guillou, Armelle ; Goegebeur, Yuri. In: Econometrics and Statistics. RePEc:eee:ecosta:v:27:y:2023:i:c:p:173-196. Full description at Econpapers || Download paper |
2023 | Network effects on risk co-movements: A network quantile autoregression-based analysis. (2023). Zhu, Xiaonan ; Shu, Lei ; Gao, YU ; Chen, YU. In: Finance Research Letters. RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323004427. Full description at Econpapers || Download paper |
2023 | Nonparametric estimation of conditional marginal excess moments. (2023). Qin, Jing ; le Ho, Nguyen Khanh ; Guillou, Armelle ; Goegebeur, Yuri. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:193:y:2023:i:c:s0047259x22001129. Full description at Econpapers || Download paper |
2023 | Extreme partial least-squares. (2023). Enjolras, Geoffroy ; Girard, Stephane ; Bousebata, Meryem. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:194:y:2023:i:c:s0047259x22000926. Full description at Econpapers || Download paper |
2024 | Dependent conditional tail expectation for extreme levels. (2024). Qin, Jing ; Guillou, Armelle ; Goegebeur, Yuri. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:171:y:2024:i:c:s030441492400036x. Full description at Econpapers || Download paper |
2023 | On dealing with the unknown population minimum in parametric inference. (2023). Suzuki, Adriano Kamimura ; Junqueira, Matheus Henrique. In: AStA Advances in Statistical Analysis. RePEc:spr:alstar:v:107:y:2023:i:3:d:10.1007_s10182-022-00445-9. Full description at Econpapers || Download paper |
2023 | Empirical Likelihood Based Testing for Multivariate Regular Variation. (2023). Einmahl, John ; Krajina, Andrea. In: Discussion Paper. RePEc:tiu:tiucen:261583f5-c571-48c6-8cea-945ba6542026. Full description at Econpapers || Download paper |
2023 | Empirical Likelihood Based Testing for Multivariate Regular Variation. (2023). Krajina, Andrea ; Einmahl, John. In: Other publications TiSEM. RePEc:tiu:tiutis:261583f5-c571-48c6-8cea-945ba6542026. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
---|---|---|---|
2018 | A high quantile estimator based on the log-generalized Weibull tail limit In: LIDAM Reprints ISBA. [Citation analysis] | paper | 2 |
2018 | A high quantile estimator based on the log-generalized Weibull tail limit.(2018) In: Econometrics and Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
2015 | Estimation of the marginal expected shortfall: the mean when a related variable is extreme In: Journal of the Royal Statistical Society Series B. [Full Text][Citation analysis] | article | 37 |
2012 | Estimation of the Marginal Expected Shortfall : The Mean when a Related Variable is Extreme.(2012) In: Discussion Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 37 | paper | |
2012 | Estimation of the Marginal Expected Shortfall : The Mean when a Related Variable is Extreme.(2012) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 37 | paper | |
2020 | Estimation of the marginal expected shortfall under asymptotic independence In: Scandinavian Journal of Statistics. [Full Text][Citation analysis] | article | 6 |
2012 | Estimation concerning risk under extreme value conditions In: Other publications TiSEM. [Full Text][Citation analysis] | paper | 0 |
2011 | Estimation of extreme risk regions under multivariate regular variation In: Other publications TiSEM. [Full Text][Citation analysis] | paper | 15 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 3 2024. Contact: CitEc Team