Laurens de Haan

Erasmus University Rotterdam (EUR) - Department of Econometrics

P.O. Box 1738

3000 DR Rotterdam

Netherlands

SCHOLARLY PAPERS

8

DOWNLOADS

967

SSRN CITATIONS
Rank 40,514

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Top 40,514

in Total Papers Citations

12

CROSSREF CITATIONS

6

Scholarly Papers (8)

1.

Tail Index Estimation: Quantile Driven Threshold Selection

Number of pages: 74 Posted: 18 Jan 2016
London School of Economics - Systemic Risk Centre, Bank of Canada, Erasmus University Rotterdam (EUR) - Department of Econometrics and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 262 (163,757)
Citation 11

Abstract:

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Hill estimator, Heavy tails, Optimal extreme sample fraction

2.

Estimation of the Marginal Expected Shortfall: The Mean When a Related Variable is Extreme

CentER Discussion Paper Series No. 2012-080
Number of pages: 28 Posted: 27 Sep 2012
Tilburg University - Tilburg University School of Economics and Management, Tilburg University - Department of Econometrics & Operations Research, Erasmus University Rotterdam (EUR) - Department of Econometrics and De Nederlandsche Bank
Downloads 244 (175,510)
Citation 4

Abstract:

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asymptotic normality, extreme values, tail dependence

3.

Limits to Human Life Span Through Extreme Value Theory

CentER Discussion Paper Series No. 2017-051
Number of pages: 14 Posted: 21 Dec 2017
Jesson Einmahl, John H. J. Einmahl and Laurens de Haan
Tilburg University, Tilburg University - Department of Econometrics & Operations Research and Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads 126 (309,068)
Citation 5

Abstract:

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aging, endpoint, extreme value index, oldest, statistics of extremes

4.

Weighted Approximations of Tail Copula Processes with Application to Testing the Multivariate Extreme Value Condition

CentER Discussion Paper Series No. 2004-71
Number of pages: 35 Posted: 05 Jan 2005
John H. J. Einmahl, Laurens de Haan and Deyuan Li
Tilburg University - Department of Econometrics & Operations Research, Erasmus University Rotterdam (EUR) - Department of Econometrics and Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads 105 (351,203)
Citation 3

Abstract:

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Approximations, multivariate analysis

5.

Statistics of Heteroscedastic Extremes

CentER Discussion Paper Series No. 2014-015
Number of pages: 25 Posted: 19 Feb 2014
John H. J. Einmahl, Laurens de Haan and Chen Zhou
Tilburg University - Department of Econometrics & Operations Research, Erasmus University Rotterdam (EUR) - Department of Econometrics and De Nederlandsche Bank
Downloads 68 (454,194)
Citation 5

Abstract:

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Extreme value statistics, functional limit theorems, scale

6.

The Extent of Internet Auction Markets

Tinbergen Institute Discussion Paper No. 08-041/2
Number of pages: 31 Posted: 22 Apr 2008
Laurens de Haan, Casper G. de Vries and Chen Zhou
Erasmus University Rotterdam (EUR) - Department of Econometrics, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and De Nederlandsche Bank
Downloads 63 (472,051)
Citation 1

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bids as records, number of active bidders

7.

Spatial Dependence and Space-Time Trends in Extreme Events

CentER Discussion Paper Nr. 2020-009
Number of pages: 26 Posted: 17 Apr 2020
Tilburg University - Department of Econometrics & Operations Research, affiliation not provided to SSRN, Erasmus University Rotterdam (EUR) - Department of Econometrics, University of Reading and De Nederlandsche Bank
Downloads 50 (524,775)

Abstract:

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Multivariate extreme value statistics, non-identical distributions, sequential tail empirical process, testing

8.

Estimating Extreme Bivariate Quantile Regions

CentER Discussion Paper Series No. 2009-29
Number of pages: 22 Posted: 13 Jul 2009
John H. J. Einmahl and Laurens de Haan
Tilburg University - Department of Econometrics & Operations Research and Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads 49 (529,186)
Citation 2

Abstract:

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Density contour, extreme value, level set, multivariate quantile, rare event, semiparametric estimation, tail dependence