Johan Segers

Catholic University of Louvain (UCL)

Place Montesquieu, 3

Louvain-la-Neuve, 1348

Belgium

http://www.uclouvain.be/stat

SCHOLARLY PAPERS

18

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7

Scholarly Papers (18)

1.

Mandelbrot's Extremism

CentER Discussion Paper Series No. 2004-125
Number of pages: 13 Posted: 05 Jan 2005
Jan Beirlant, Wim Schoutens and Johan Segers
Catholic University of Leuven (KUL), KU Leuven - Department of Mathematics and Catholic University of Louvain (UCL)
Downloads 339 (88,858)
Citation 5

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exceedances, extreme value theory, heavy tails, maxima

2.

Lower Tail Dependence for Archimedean Copulas: Characterizations and Pitfalls

CentER Discussion Paper Series No. 2006-29
Number of pages: 11 Posted: 09 May 2006
Arthur Charpentier and Johan Segers
National Institute of Statistics and Economic Studies (INSEE) - National School for Statistical and Economic Administration (ENSAE) and Catholic University of Louvain (UCL)
Downloads 279 (109,885)

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Archimedean copula, regular variation, tail dependence, de Haan class

3.

Unbiased Tail Estimation by an Extension of the Generalized Pareto Distribution

CentER Discussion Paper No. 2005-112
Number of pages: 17 Posted: 14 Nov 2005
Jan Beirlant, Elisabeth Joossens and Johan Segers
Catholic University of Leuven (KUL), Joint Research Centre and Catholic University of Louvain (UCL)
Downloads 199 (153,788)

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bias reduction, exchange rate, heavy tails, peaks-over-threshold, regular variation, tail index

4.

Non-Parametric Inference for Bivariate Extreme-Value Copulas

CentER Discussion Paper No. 2004-91
Number of pages: 25 Posted: 10 Nov 2004
Johan Segers
Catholic University of Louvain (UCL)
Downloads 192 (159,027)
Citation 5

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Estimator, nonparametric inference

5.

Convergence of Archimedean Copulas

CentER Discussion Paper Series No. 2006-28
Number of pages: 11 Posted: 09 May 2006
Arthur Charpentier and Johan Segers
National Institute of Statistics and Economic Studies (INSEE) - National School for Statistical and Economic Administration (ENSAE) and Catholic University of Louvain (UCL)
Downloads 162 (184,633)
Citation 1

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Archimedean copula, generator, Kendall distribution function

6.

A Method of Moments Estimator of Tail Dependence

CentER Discussion Paper No. 2007-80
Number of pages: 32 Posted: 29 Oct 2007
Tilburg University - Department of Econometrics & Operations Research, University of Gottingen, Institute of Mathematical Stochastics and Catholic University of Louvain (UCL)
Downloads 104 (260,190)

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asymptotic properties, confidence regions, goodness-of-fit test, meta-elliptical distribution, method of moments, multivariate extremes, tail dependence

7.

Rare Events, Temporal Dependence, and the Extremal Index

CentER Discussion Paper No. 2006-07
Number of pages: 29 Posted: 10 Mar 2006
Johan Segers
Catholic University of Louvain (UCL)
Downloads 90 (286,125)

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block maximum, exceedance, extremal index, failure set, mixing condition, M4 process, rare event, stationary sequence

8.

Improving Upon the Marginal Empirical Distribution Function When the Copula is Known

CentER Discussion Paper Series No. 2008-40
Number of pages: 25 Posted: 21 Apr 2008
Catholic University of Louvain (UCL), Tilburg University - CentER and department of Econometrics & OR and Tilburg University - Center for Economic Research (CentER)
Downloads 71 (329,457)
Citation 1

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independence copula, nonparametric maximum likelihood estimator, score function, semiparametric efficiency, tangent space

9.

Assessing Confidence Intervals for the Tail Index by Edgeworth Expansions for the Hill Estimator

CentER Discussion Paper No. 2005-129
Number of pages: 26 Posted: 17 Jan 2006
Erich Haeusler and Johan Segers
University of Giessen and Catholic University of Louvain (UCL)
Downloads 67 (339,909)
Citation 1

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asymptotic normality, confidence intervals, Edgeworth expansions, extreme value index, Hill estimator, regular variation, tail index

10.

Approximate Distributions of Clusters of Extremes

CentER Discussion Paper No. 2003-91
Number of pages: 9 Posted: 16 Jun 2004
Johan Segers
Catholic University of Louvain (UCL)
Downloads 57 (368,763)
Citation 1

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Cluster of extremes, extremal index, stationary sequence, threshold exceedance, maximum

11.

Semiparametric Gaussian Copula Models: Geometry and Efficient Rank-Based Estimation

Number of pages: 47 Posted: 12 Aug 2013
Catholic University of Louvain (UCL), Tilburg University - CentER and department of Econometrics & OR and Tilburg University - Center for Economic Research (CentER)
Downloads 54 (378,359)

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adaptivity, correlation matrix, influence function, quadratic form, ranks, score function, tangent space

12.

Projection Estimates of Constrained Functional Parameters

CentER Discussion Paper No. 2005-111
Number of pages: 36 Posted: 14 Nov 2005
University of Paris VI Pierre et Marie Curie, University of Paris VI Pierre et Marie Curie and Catholic University of Louvain (UCL)
Downloads 48 (398,402)

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estimation, convex function, extreme value copula, Pickands dependence function, projection, shape constraint, support function, tangent cone

13.

An M-Estimator for Tail Dependence in Arbitrary Dimensions

CentER Discussion Paper Series No. 2011-013
Number of pages: 24 Posted: 18 Feb 2011
Tilburg University - Department of Econometrics & Operations Research, University of Gottingen, Institute of Mathematical Stochastics and Catholic University of Louvain (UCL)
Downloads 33 (457,292)
Citation 3

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Asymptotic Statistics, Factor Model, M-Estimation, Multivariate Extremes, Tail Dependence

14.

A Continuous Updating Weighted Least Squares Estimator of Tail Dependence in High Dimensions

CentER Discussion Paper Series No. 2016-002
Number of pages: 24 Posted: 18 Jan 2016
Tilburg University - Department of Econometrics & Operations Research, Catholic University of Louvain (UCL) and Catholic University of Louvain (UCL)
Downloads 29 (476,106)

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Brown-Resnick process, extremal coeffcient, max-linear model, multivariate extremes

15.

An M-Estimator of Spatial Tail Dependence

CentER Discussion Paper Series No. 2014-021
Number of pages: 26 Posted: 11 Mar 2014
Tilburg University - Department of Econometrics & Operations Research, Catholic University of Louvain (UCL), University of Gottingen, Institute of Mathematical Stochastics and Catholic University of Louvain (UCL)
Downloads 17 (544,007)
Citation 1

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Brown-Resnick process; exceedances; multivariate extremes; ranks; spatial

16.

Maximum Empirical Likelihood Estimation of the Spectral Measure of an Extreme Value Distribution

CentER Discussion Paper Series No. 2008-42
Number of pages: 35 Posted: 27 May 2008
John H. J. Einmahl and Johan Segers
Tilburg University - Department of Econometrics & Operations Research and Catholic University of Louvain (UCL)
Downloads 17 (544,007)
Citation 2

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functional central limit theorem, local empirical process, moment constraint, multivariate extremes, nonparametric maximum likelihood estimator, tail dependence

17.

Functionals of Clusters of Extremes

CentER Discussion Paper No. 2003-48
Posted: 08 Jun 2004
Johan Segers
Catholic University of Louvain (UCL)

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Cluster functional, extremal index, extreme-value distribution, stationary sequence, tail sequence, threshold exceedance

18.

Edgeworth Expansions for the Distribution Function of the Hill Estimator

CentER Discussion Paper No. 2003-08
Posted: 08 Jun 2004
Johan Segers, Erich Haeusler and Anke Cuntz
Catholic University of Louvain (UCL), University of Giessen and Helvetia Versicherungen

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Asymptotic normality, Edgeworth expansions, extreme value index, Hill estimator, regular variation