Modeling Tail Index With Autoregressive Conditional Pareto Model

DOI10.1080/07350015.2020.1832504MaRDI QIDQ6620871zbMATH OpenFDO

Authors Yu Chen

Publication date 17 October 2024

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

Full work available at URL https://doi.org/10.1080/07350015.2020.1832504

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites work

• Autoregressive Conditional Density Estimation
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Extreme-quantile tracking for financial time series
• scientific article; zbMATH DE number 4159879 (Why is no real title available?)
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• Maximum likelihood estimation in a class of nonregular cases
• Modeling maxima with autoregressive conditional Fréchet model
• Random seas and design of maritime structures.
• Residual life time at great age
• Statistical inference using extreme order statistics

Cited in

(3)

• From scarcity to insight: extreme events analysis with a partially linear single-index varying-coefficient model in high-dimensional settings
• A dynamic model for extreme hourly precipitation
• Modeling extreme risk with fixed-k autoregressive conditional Fréchet model

This page was built for publication: Modeling Tail Index With Autoregressive Conditional Pareto Model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6620871)