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A statistical methodology for assessing the maximal strength of tail dependence
Sun, Ning, (2020)
Model-free bounds on Value-at-Risk using extreme value information and statistical distances
Lux, Thibaut, (2019)
Estimation of extreme depth-based quantile regions
He, Yi, (2014)
Bootstrap methods and their application
Davison, Anthony C., (1999)
Approximate conditional inference in generalized linear models
Davison, Anthony C., (1988)
Tail risk inference via expectiles in heavy-tailed time series
Davison, Anthony C., (2023)