Adapting extreme value statistics to financial time series: dealing with bias and serial dependence (Q135348): Difference between revisions

@@ Property / author @@
-Laurens De Haan
@@ Property / author: Laurens De Haan / rank @@
-Normal rank
@@ Property / author @@
+Laurens De Haan
@@ Property / author: Laurens De Haan / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+P05
@@ Property / Mathematics Subject Classification ID: 62P05 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G32
@@ Property / Mathematics Subject Classification ID: 62G32 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+M10
@@ Property / Mathematics Subject Classification ID: 62M10 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G70
@@ Property / Mathematics Subject Classification ID: 60G70 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6583717
@@ Property / zbMATH DE Number: 6583717 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Hill estimator
@@ Property / zbMATH Keywords: Hill estimator / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+bias correction
@@ Property / zbMATH Keywords: bias correction / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+\(\beta\)-mixing condition
@@ Property / zbMATH Keywords: \(\beta\)-mixing condition / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+tail quantile process
@@ Property / zbMATH Keywords: tail quantile process / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1007/s00780-015-0287-6
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+W2222335248
@@ Property / OpenAlex ID: W2222335248 / rank @@
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@@ Property / Wikidata QID @@
+Q59471312
@@ Property / Wikidata QID: Q59471312 / rank @@
+Normal rank
@@ Property / cites work @@
+Bias correction in extreme value statistics with index around zero
+Normal rank
@@ Property / cites work @@
+Semi-parametric estimation for heavy tailed distributions
+Normal rank
@@ Property / cites work @@
+Using a bootstrap method to choose the sample fraction in tail index estimation
+Normal rank
@@ Property / cites work @@
+Weighted approximations of tail processes for \(\beta\)-mixing random variables.
+Normal rank
@@ Property / cites work @@
+Q4410085
@@ Property / cites work: Q4410085 / rank @@
+Normal rank
@@ Property / cites work @@
+Extreme quantile estimation for dependent data, with applications to finance
+Normal rank
@@ Property / cites work @@
+Selecting the optimal sample fraction in univariate extreme value estimation
+Normal rank
@@ Property / cites work @@
+Implicit renewal theory and tails of solutions of random equations
+Normal rank
@@ Property / cites work @@
+Tail Index Estimation for Heavy-Tailed Models: Accommodation of Bias in Weighted Log-Excesses
+Normal rank
@@ Property / cites work @@
+Semi-parametric estimation of the second order parameter in statistics of extremes
+Normal rank
@@ Property / cites work @@
+A Diagnostic for Selecting the Threshold in Extreme Value Analysis
+Normal rank
@@ Property / cites work @@
+Q5485944
@@ Property / cites work: Q5485944 / rank @@
+Normal rank
@@ Property / cites work @@
+A simple general approach to inference about the tail of a distribution
+Normal rank
@@ Property / cites work @@
+On tail index estimation using dependent data
@@ Property / cites work: On tail index estimation using dependent data / rank @@
+Normal rank
@@ Property / cites work @@
+Random difference equations and renewal theory for products of random matrices
+Normal rank
@@ Property / cites work @@
+Asymptotic behavior of hill's estimator for autoregressive data
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@@ Property / cites work @@
+Weak convergence of the tail empirical process for dependent sequences
+Normal rank
@@ Property / cites work @@
+Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:135348