Peaks-over-threshold stability of multivariate generalized Pareto distributions

Title
Peaks-over-threshold stability of multivariate generalized Pareto distributions
Authors
Keywords
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Journal
JOURNAL OF MULTIVARIATE ANALYSIS
Volume 99, Issue 4, Pages 715-734
Publisher
Elsevier BV
Online
2007-04-15
DOI
10.1016/j.jmva.2007.03.009

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