Extreme quantile estimation for dependent data, with applications to finance
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Publication:135341
DOI10.3150/BJ/1066223272zbMATH Open1040.62077OpenAlexW2117847142MaRDI QIDQ135341FDOQ135341
Authors: Holger Drees, Holger Drees 
Publication date: 1 August 2003
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.bj/1066223272
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confidence intervaltime seriesARMA modelbeta mixingextreme quantilesGARCH modelstochastic difference equationtail empirical quantile function
Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)
Cited In (76)
- Modeling rare events through a \(p\)RARMAX process
- Asymptotic normality of the likelihood moment estimators for a stationary linear process with heavy-tailed innovations
- Extreme quantile estimation based on financial time series
- Extremal behavior of pMAX processes
- On the tail index inference for heavy-tailed GARCH-type innovations
- Diagnostic check for heavy tail in linear time series
- Adaptive PORT–MVRB estimation: an empirical comparison of two heuristic algorithms
- Sequential monitoring of the tail behavior of dependent data
- PORT Hill and Moment Estimators for Heavy-Tailed Models
- Extreme quantile estimation for \(\beta\)-mixing time series and applications
- Extreme M-quantiles as risk measures: from \(L^{1}\) to \(L^{p}\) optimization
- A computational study of a quasi-PORT methodology for VaR based on second-order reduced-bias estimation
- A new random field on lattices
- Extreme conditional expectile estimation in heavy-tailed heteroscedastic regression models
- Towards estimating extremal serial dependence via the bootstrapped extremogram
- The tail empirical process for long memory stochastic volatility sequences
- On extremal dependence: some contributions
- An improved method for forecasting spare parts demand using extreme value theory
- Extreme value estimation for discretely sampled continuous processes
- Peak-over-threshold estimators for spectral tail processes: random vs deterministic thresholds
- Test for tail index constancy of GARCH innovations based on conditional volatility
- Joint inference on extreme expectiles for multivariate heavy-tailed distributions
- On a relationship between randomly and non-randomly thresholded empirical average excesses for heavy tails
- Tail and dependence behavior of levels that persist for a fixed period of time
- On consistency of the likelihood moment estimators for a linear process with regularly varying innovations
- Extreme quantiles estimation for actuarial applications
- Inference on the tail process with application to financial time series modeling
- The tail empirical process of regularly varying functions of geometrically ergodic Markov chains
- Quantile Estimation in Dependent Sequences
- ExpectHill estimation, extreme risk and heavy tails
- Risk forecasting in the context of time series
- Predicting extreme value at risk: nonparametric quantile regression with refinements from extreme value theory
- Change point test for tail index for dependent data
- Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks
- Where does the tail begin? An approach based on scoring rules
- Extreme value analysis of actuarial risks: estimation and model validation
- A simple generalisation of the Hill estimator
- Change point tests for the tail index of \(\beta\)-mixing random variables
- Estimating catastrophic quantile levels for heavy-tailed distributions
- Extreme-value based estimation of the conditional tail moment with application to reinsurance rating
- Analyzing and predicting cat bond premiums: a financial loss premium principle and extreme value modeling
- Reduced-bias location-invariant extreme value index estimation: a simulation study
- Measuring and comparing risks of different types
- Nonparametric estimation of \(100(1-p)\%\) expected shortfall: \(p\to 0\) as sample size is increased
- Extreme-quantile tracking for financial time series
- On the extremal behavior of a Pareto process: an alternative for ARMAX modeling
- Approximation of high quantiles from intermediate quantiles
- Estimation of Extreme Quantiles for Functions of Dependent Random Variables
- ExtremeRisks
- Adapting extreme value statistics to financial time series: dealing with bias and serial dependence
- Tail risk inference via expectiles in heavy-tailed time series
- On the measurement and treatment of extremes in time series
- Monitoring multivariate time series
- Some aspects of extreme value statistics under serial dependence
- Limit theorems for empirical processes of cluster functionals
- Inference for the limiting cluster size distribution of extreme values
- Weak convergence of the tail empirical process for dependent sequences
- Conditional tail moment and reinsurance premium estimation under random right censoring
- Corrected-Hill versus partially reduced-bias value-at-risk estimation
- Tail adversarial stability for regularly varying linear processes and their extensions
- Extremal index blocks estimator: the threshold and the block size choice
- Estimation for heavy tailed moving average process.
- Improved estimators of tail index and extreme quantiles under dependence serials
- Estimation of the distortion risk premium for heavy-tailed losses under serial dependence
- On dealing with the unknown population minimum in parametric inference
- Jianqing Fan: Methodology and Insight in Statistics, Financial Crisis, High Dimensional Challenges
- Optimal weighted pooling for inference about the tail index and extreme quantiles
- Dependent conditional tail expectation for extreme levels
- Estimation of the conditional tail moment for Weibull-type distributions
- Composite bias‐reduced Lp‐quantile‐based estimators of extreme quantiles and expectiles
- Tail and quantile estimation for real-valued \(\beta\)-mixing spatial data
- On uniform confidence intervals for the tail index and the extreme quantile
- Estimation of the adjusted standard-deviatile for extreme risks
- Confidence Intervals for Conditional Tail Risk Measures in ARMA–GARCH Models
- Modeling long term return distribution and nonparametric market risk estimation
- Workload portfolio optimization for virtualized computer systems based on semiparametric quantile function estimation
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