Modeling Extreme Events: Time-Varying Extreme Tail Shape
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Cites work
- A dynamic conditional score model for the log correlation matrix
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- Information-theoretic optimality of observation-driven time series models for continuous responses
- Kalman Filtering with Random Coefficients and Contractions
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- Quantile regression.
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- Regression-type models for extremal dependence
- Semiparametric modeling of multiple quantiles
- Statistics of heteroscedastic extremes
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- Tail index regression
- Testing for changes in (extreme) VaR
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- Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads
- Trends in Extreme Value Indices
Cited in
(4)- Consistency, distributional convergence, and optimality of time-varying parameters in score-driven models
- A two-step estimating approach for heavy-tailed AR models with nonzero median GARCH-type noises
- A dynamic model for extreme hourly precipitation
- Modeling extreme risk with fixed-k autoregressive conditional Fréchet model
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