Conditional Extremes in Asymmetric Financial Markets

DOI10.1080/07350015.2018.1476248MaRDI QIDQ6626295zbMATH OpenFDO

Authors Natalia Nolde, Jinyuan Zhang

Publication date 28 October 2024

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07350015.2018.1476248

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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Cited in

(4)

• Backtesting Systemic Risk Forecasts Using Multi-Objective Elicitability
• Extreme value techniques for stress scenario selection under elliptical symmetry and beyond
• Elicitability and identifiability of tail risk measures
• Asymptotics of CoVaR inference in two-quantile-regression

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