Extreme quantile estimation for dependent data, with applications to finance
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ARMA modelbeta mixingconfidence intervalextreme quantilesGARCH modelstochastic difference equationtail empirical quantile functiontime series
Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)
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Cited in
(88)- Inference for the limiting cluster size distribution of extreme values
- Some aspects of extreme value statistics under serial dependence
- Weak convergence of the tail empirical process for dependent sequences
- A simple generalisation of the Hill estimator
- Adapting extreme value statistics to financial time series: dealing with bias and serial dependence
- Tail risk inference via expectiles in heavy-tailed time series
- ExtremeRisks
- Extreme quantile estimation for \(\beta\)-mixing time series and applications
- Extreme value analysis of actuarial risks: estimation and model validation
- Extreme value estimation for discretely sampled continuous processes
- Inference on the tail process with application to financial time series modeling
- Extreme M-quantiles as risk measures: from \(L^{1}\) to \(L^{p}\) optimization
- Diagnostic check for heavy tail in linear time series
- Asymptotic normality of the likelihood moment estimators for a stationary linear process with heavy-tailed innovations
- An improved method for forecasting spare parts demand using extreme value theory
- Extreme quantiles estimation for actuarial applications
- Predicting extreme value at risk: nonparametric quantile regression with refinements from extreme value theory
- On extremal dependence: some contributions
- The tail empirical process of regularly varying functions of geometrically ergodic Markov chains
- Extreme conditional expectile estimation in heavy-tailed heteroscedastic regression models
- Joint inference on extreme expectiles for multivariate heavy-tailed distributions
- Peak-over-threshold estimators for spectral tail processes: random vs deterministic thresholds
- ExpectHill estimation, extreme risk and heavy tails
- Tail and dependence behavior of levels that persist for a fixed period of time
- On a relationship between randomly and non-randomly thresholded empirical average excesses for heavy tails
- Risk forecasting in the context of time series
- Test for tail index constancy of GARCH innovations based on conditional volatility
- On consistency of the likelihood moment estimators for a linear process with regularly varying innovations
- Extreme-quantile tracking for financial time series
- On the tail index inference for heavy-tailed GARCH-type innovations
- Measuring and comparing risks of different types
- A new random field on lattices
- Extremal quantile autoregression for heavy-tailed time series
- Extreme-value based estimation of the conditional tail moment with application to reinsurance rating
- Tail and quantile estimation for real-valued \(\beta\)-mixing spatial data
- Adaptive PORT–MVRB estimation: an empirical comparison of two heuristic algorithms
- On the extremal behavior of a Pareto process: an alternative for ARMAX modeling
- Reduced-bias location-invariant extreme value index estimation: a simulation study
- Workload portfolio optimization for virtualized computer systems based on semiparametric quantile function estimation
- Quantile Estimation in Dependent Sequences
- Approximation of high quantiles from intermediate quantiles
- PORT Hill and Moment Estimators for Heavy-Tailed Models
- Extremal behavior of pMAX processes
- Estimation of the distortion risk premium for heavy-tailed losses under serial dependence
- Nonparametric estimation of \(100(1-p)\%\) expected shortfall: \(p\to 0\) as sample size is increased
- Estimation for heavy tailed moving average process.
- A computational study of a quasi-PORT methodology for VaR based on second-order reduced-bias estimation
- On the measurement and treatment of extremes in time series
- Corrected-Hill versus partially reduced-bias value-at-risk estimation
- Monitoring multivariate time series
- Jianqing Fan: Methodology and Insight in Statistics, Financial Crisis, High Dimensional Challenges
- Towards estimating extremal serial dependence via the bootstrapped extremogram
- Change point tests for the tail index of -mixing random variables
- Extreme quantile estimation based on financial time series
- Estimation of Extreme Quantiles for Functions of Dependent Random Variables
- Analyzing and predicting cat bond premiums: a financial loss premium principle and extreme value modeling
- Where does the tail begin? An approach based on scoring rules
- Extremal index blocks estimator: the threshold and the block size choice
- Composite bias‐reduced Lp‐quantile‐based estimators of extreme quantiles and expectiles
- On dealing with the unknown population minimum in parametric inference
- Modeling long term return distribution and nonparametric market risk estimation
- Tail adversarial stability for regularly varying linear processes and their extensions
- Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks
- Improved estimators of tail index and extreme quantiles under dependence serials
- The tail empirical process for long memory stochastic volatility sequences
- Optimal weighted pooling for inference about the tail index and extreme quantiles
- Dependent conditional tail expectation for extreme levels
- Change point test for tail index for dependent data
- Estimation of the adjusted standard-deviatile for extreme risks
- Conditional tail moment and reinsurance premium estimation under random right censoring
- Confidence Intervals for Conditional Tail Risk Measures in ARMA–GARCH Models
- Estimation of the conditional tail moment for Weibull-type distributions
- On uniform confidence intervals for the tail index and the extreme quantile
- Plug-in bandwidth selection rules for the kernel quantile estimator
- Tail index estimation for tail adversarial stable time series with an application to high-dimensional tail clustering
- Extremal local linear quantile regression for nonlinear dependent processes
- Box-Cox transformation on the estimation of extreme value index (EVI) and high quantiles for heavy-tailed distributions under dependence serials
- Smoothness of time series: a new approach to estimation
- An exact bootstrap-based bandwidth selection rule for kernel quantile estimators
- Kernel estimator of extreme value index (EVI) and high quantiles for heavy-tailed distributions under dependence serials using the Box-Cox transformation
- Central limit theory for peaks-over-threshold partial sums of long memory linear time series
- Excess mean of power estimator of extreme value index
- Sequential monitoring of the tail behavior of dependent data
- Marginal expected shortfall inference under multivariate regular variation
- Beyond the mean: limit theory and tests for infinite-mean autoregressive conditional durations
- Estimating catastrophic quantile levels for heavy-tailed distributions
- Limit theorems for empirical processes of cluster functionals
- Modeling rare events through a \(p\)RARMAX process
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