ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA
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Nonparametric estimation (62G05) 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)
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Cites work
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- Abelian and Tauberian Theorems on the Bias of the Hill Estimator
- Adaptive estimates of parameters of regular variation
- Asymptotic normality of extreme value estimators on \(C[0,1]\)
- Consistency of Hill's estimator for dependent data
- Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices
- Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes
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- Dependent central limit theorems and invariance principles
- Estimating tails of probability distributions
- Estimation of the extreme-value index and generalized quantile plots
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- scientific article; zbMATH DE number 4030574 (Why is no real title available?)
- scientific article; zbMATH DE number 3349081 (Why is no real title available?)
- Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations
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- Limit theory for bilinear processes with heavy-tailed noise
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- Uniform rates of convergence in extreme-value theory
- Weak convergence of the tail empirical process for dependent sequences
Cited in
(52)- On functional central limit theorems for dependent, heterogeneous arrays with applications to tail index and tail dependence estimation
- On tail index estimation using dependent data
- A continuous updating weighted least squares estimator of tail dependence in high dimensions
- Testing for (in)finite moments
- Asymmetry in tail dependence in equity portfolios
- Simple tail index estimation for dependent and heterogeneous data with missing values
- Tail index estimation in small samples. Simulation results for independent and ARCH-type financial return models
- A new approach on estimation of the tail index
- Inference on heavy tails from dependent data
- Hill's estimator for the tail index of an ARMA model
- Volatility regressions with fat tails
- Are there common values in first-price auctions? A tail-index nonparametric test
- Robust estimation and inference for heavy tailed GARCH
- Estimating the tail-dependence coefficient: properties and pitfalls
- On the tail index inference for heavy-tailed GARCH-type innovations
- Closed-form estimators for finite-order ARCH models as simple and competitive alternatives to QMLE
- Tail index estimation based on survey data
- On tail index estimation based on multivariate data
- Least tail-trimmed squares for infinite variance autoregressions
- scientific article; zbMATH DE number 5668410 (Why is no real title available?)
- Tail Index Estimation for a Filtered Dependent Time Series
- Tail Index Estimation for Heavy-Tailed Models: Accommodation of Bias in Weighted Log-Excesses
- Tail index estimation in the presence of long-memory dynamics
- On tail index estimation using a sample with missing observations
- Asymptotic behavior of hill's estimator for autoregressive data
- Test for the existence of finite moments via bootstrap
- Robust score and portmanteau tests of volatility spillover
- Consistency of Hill's estimator for dependent data
- On the measurement and treatment of extremes in time series
- Consistency of the Hill estimator for time series observed with measurement errors
- scientific article; zbMATH DE number 6398925 (Why is no real title available?)
- Tail and nontail memory with applications to extreme value and robust statistics
- Mixed causal-noncausal AR processes and the modelling of explosive bubbles
- Moment condition tests for heavy tailed time series
- Hill estimator of projections of functional data on principal components
- Estimation of and inference about the expected shortfall for time series with infinite variance
- Size distributions reconsidered
- Where does the tail begin? An approach based on scoring rules
- Extremal memory of stochastic volatility with an application to tail shape inference
- Consistent estimation of the tail index for dependent data
- Volatility models for stylized facts of high‐frequency financial data
- Extreme value inference for heterogeneous power law data
- On Mixture Double Autoregressive Time Series Models
- Exponential-Type GARCH Models With Linear-in-Variance Risk Premium
- Semiparametric Tail Index Regression
- On uniform confidence intervals for the tail index and the extreme quantile
- Tail index estimation for tail adversarial stable time series with an application to high-dimensional tail clustering
- Extreme conditional tail risk inference in ARMA-GARCH models
- Heavy tail robust estimation and inference for average treatment effects
- Extreme Quantile Treatment Effects under Endogeneity
- GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference
- Tail index estimation, concentration and adaptivity
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