Laurens de Haan : Citation Profile


Are you Laurens de Haan?

Universiteit van Tilburg

4

H index

3

i10 index

67

Citations

RESEARCH PRODUCTION:

8

Articles

1

Papers

RESEARCH ACTIVITY:

   40 years (1978 - 2018). See details.
   Cites by year: 1
   Journals where Laurens de Haan has often published
   Relations with other researchers
   Recent citing documents: 6.    Total self citations: 1 (1.47 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pde531
   Updated: 2019-10-15    RAS profile: 2011-09-05    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Laurens de Haan.

Is cited by:

Krajina, Andrea (4)

Einmahl, John (4)

de Vries, Casper (4)

Danielsson, Jon (4)

Schaumburg, Julia (3)

Onali, Enrico (2)

Schienle, Melanie (2)

Zhou, Chen (2)

Brooks, Chris (1)

Goddard, John (1)

van Oordt, Maarten (1)

Cites to:

Mandelbrot, Benoît (1)

West, Kenneth (1)

Gabaix, Xavier (1)

Hodrick, Robert (1)

Engle, Robert (1)

Newey, Whitney (1)

de Vries, Casper (1)

Einmahl, John (1)

Horvath, Lajos (1)

Jansen, Dennis (1)

Main data


Where Laurens de Haan has published?


Journals with more than one article published# docs
Statistics & Probability Letters3
Journal of Multivariate Analysis3

Recent works citing Laurens de Haan (2019 and 2018)


YearTitle of citing document
2018Challenges in Implementing Worst-Case Analysis. (2018). Danielsson, Jon ; de Vries, Casper G ; Ergun, Lerby. In: Staff Working Papers. RePEc:bca:bocawp:18-47.

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2018Extreme quantile estimation for β-mixing time series and applications. (2018). Chavez-Demoulin, Valerie ; Guillou, Armelle. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:83:y:2018:i:c:p:59-74.

Full description at Econpapers || Download paper

2018Empirical likelihood based inference for conditional Pareto-type tail index. (2018). Ma, Yaolan ; Huang, Wei ; Jiang, Yuexiang. In: Statistics & Probability Letters. RePEc:eee:stapro:v:134:y:2018:i:c:p:114-121.

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2018How accurate are modern Value-at-Risk estimators derived from extreme value theory?. (2018). Mogel, Benjamin ; Auer, Benjamin R. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:50:y:2018:i:4:d:10.1007_s11156-017-0652-y.

Full description at Econpapers || Download paper

2018A review of more than one hundred Pareto-tail index estimators. (2018). Fedotenkov, Igor. In: MPRA Paper. RePEc:pra:mprapa:90072.

Full description at Econpapers || Download paper

Works by Laurens de Haan:


YearTitleTypeCited
2019Tail Index Estimation: Quantile-Driven Threshold Selection In: Staff Working Papers.
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paper3
2008Tail index estimation for heavy‐tailed models: accommodation of bias in weighted log‐excesses In: Journal of the Royal Statistical Society Series B.
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article23
1978Asymptotic properties of a correlation coefficient type statistic connected with the general linear model In: Journal of Econometrics.
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article0
1984Domains of attraction and regular variation in IRd In: Journal of Multivariate Analysis.
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article5
1997Rates of Convergence for Bivariate Extremes In: Journal of Multivariate Analysis.
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article4
2008Parametric tail copula estimation and model testing In: Journal of Multivariate Analysis.
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article12
1999Estimating the index of a stable distribution In: Statistics & Probability Letters.
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article19
2003On large deviation for extremes In: Statistics & Probability Letters.
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article1
2006A class of distribution functions with less bias in extreme value estimation In: Statistics & Probability Letters.
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article0

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