Multivariate tail estimation with application to analysis of CoVaR

DOI10.1017/ASB.2013.13MaRDI QIDQ5398351zbMATH OpenOpenAlexFDO

Authors Tilo Nguyen, Gennady Samorodnitsky

Publication date 27 February 2014

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/6ee8c53b9a60b30f40b03a6816587d989824e318

zbMATH Keywords

CoVaRextremesspectral measuretail estimationtail measuretail region

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Cites work

• Beta kernel estimators for density functions
• Estimating a multidimensional extreme-value distribution
• Estimating the limit distribution of multivariate extremes
• Extreme value theory. An introduction.
• Heavy-Tail Phenomena
• scientific article; zbMATH DE number 4030574 (Why is no real title available?)
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• scientific article; zbMATH DE number 2188733 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• Maximum empirical likelihood estimation of the spectral measure of an extreme-value distribu\-tion
• Selecting the optimal sample fraction in univariate extreme value estimation
• Statistics for near independence in multivariate extreme values
• Tail inference: where does the tail begin?
• Using a bootstrap method to choose the sample fraction in tail index estimation

Cited in

(12)

• Estimation of the tail exponent of multivariate regular variation
• Finite sample tail behavior of multivariate location estimators
• Sequential estimation of shape parameters in multivariate dynamic models
• Bayesian tail risk interdependence using quantile regression
• On tail index estimation based on multivariate data
• VAR for VaR: measuring tail dependence using multivariate regression quantiles
• A new multivariate t distribution with variant tail weights and its application in robust regression analysis
• Asymptotic Analysis of Multivariate Tail Conditional Expectations
• Fat tails, VaR and subadditivity
• Where does the tail begin? An approach based on scoring rules
• Estimation of multivariate tail quantities
• Conditional Extremes in Asymmetric Financial Markets

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