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Sur La Distribution Limite Du Terme Maximum D'Une Serie Aleatoire
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This article is published in Annals of Mathematics.The article was published on 1943-07-01. It has received 2037 citations till now.read more
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Dependence between oil and commodities markets using time-varying Archimedean copulas and effectiveness of hedging strategies
TL;DR: In this article, the dependence between oil and some commodity prices (cotton, rice, wheat, sucre, coffee, and silver) using copula theory, and then in a second step to determine the optimal hedging strategy for oil-commodity portfolio against the risk of negative variation in commodity markets prices.
Stochastic investigation of hydrological extremes: influence of temporal variability and dependence
TL;DR: In this paper, a review of extreme value theory under dependence and extreme value under dependence is presented, and a treatment of dependence and extremes in common modelling approaches is presented. But the authors do not discuss the relationship between extreme value and dependence.
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Semi-parametric approach to the Hasofer–Wang and Greenwood statistics in extremes
TL;DR: In this paper, a semi-parametric approach to the problem of statistical choice of extreme domains of attraction is proposed, based on the concepts of regular variation theory, and the asymptotic properties of Hasofer and Wang's test statistic are investigated.
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Domains of Geometric Partial Attraction of Max-Semistable Laws: Structure, Merge and Almost Sure Limit Theorems
TL;DR: In this paper, it was shown that although weak convergence does not take place along {n}=ℕ, the distributions of the maxima "merge" together along the entire n with a suitably chosen family of limiting laws.