Adapting extreme value statistics to financial time series: dealing with bias and serial dependence
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Cites work
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- A simple general approach to inference about the tail of a distribution
- Asymptotic behavior of hill's estimator for autoregressive data
- Bias correction in extreme value statistics with index around zero
- Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
- Extreme quantile estimation for dependent data, with applications to finance
- Extreme value theory. An introduction.
- scientific article; zbMATH DE number 1944037 (Why is no real title available?)
- Implicit renewal theory and tails of solutions of random equations
- On tail index estimation using dependent data
- Random difference equations and renewal theory for products of random matrices
- Selecting the optimal sample fraction in univariate extreme value estimation
- Semi-parametric estimation for heavy tailed distributions
- Semi-parametric estimation of the second order parameter in statistics of extremes
- Tail Index Estimation for Heavy-Tailed Models: Accommodation of Bias in Weighted Log-Excesses
- Using a bootstrap method to choose the sample fraction in tail index estimation
- Weak convergence of the tail empirical process for dependent sequences
- Weighted approximations of tail processes for \(\beta\)-mixing random variables.
Cited in
(27)- Extreme quantile estimation for dependent data, with applications to finance
- Tail risk inference via expectiles in heavy-tailed time series
- ExtremeRisks
- Extreme quantile estimation for \(\beta\)-mixing time series and applications
- Extreme M-quantiles as risk measures: from \(L^{1}\) to \(L^{p}\) optimization
- A horse race between the block maxima method and the peak-over-threshold approach
- Joint inference on extreme expectiles for multivariate heavy-tailed distributions
- Adapting the Hill estimator to distributed inference: dealing with the bias
- Tail expectile process and risk assessment
- Bias correction in multivariate extremes
- Multiple block sizes and overlapping blocks for multivariate time series extremes
- Tail and quantile estimation for real-valued \(\beta\)-mixing spatial data
- Estimation of the distortion risk premium for heavy-tailed losses under serial dependence
- Estimation for heavy tailed moving average process.
- GARCH-UGH: a bias-reduced approach for dynamic extreme value-at-risk estimation in financial time series
- Mixed causal-noncausal AR processes and the modelling of explosive bubbles
- Large deviations of \(\ell^p\)-blocks of regularly varying time series and applications to cluster inference
- Improved estimators of tail index and extreme quantiles under dependence serials
- Some variations on the extremal index
- Estimation of the adjusted standard-deviatile for extreme risks
- Stable sums to infer high return levels of multivariate rainfall time series
- Too Connected to Fail? Inferring Network Ties From Price Co-Movements
- Extremal local linear quantile regression for nonlinear dependent processes
- Box-Cox transformation on the estimation of extreme value index (EVI) and high quantiles for heavy-tailed distributions under dependence serials
- Asymptotic confidence intervals for extreme quantiles in a maximum domain of attraction
- Kernel estimator of extreme value index (EVI) and high quantiles for heavy-tailed distributions under dependence serials using the Box-Cox transformation
- A conditional tail expectation type risk measure for time series
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