Adapting extreme value statistics to financial time series: dealing with bias and serial dependence
DOI10.1007/S00780-015-0287-6zbMATH Open1380.62246OpenAlexW2222335248WikidataQ59471312 ScholiaQ59471312MaRDI QIDQ135348FDOQ135348
Authors: Laurens De Haan, Cécile Mercadier, Chen Zhou, Cecile Mercadier, Chen Zhou, Laurens De Haan 
Publication date: 6 January 2016
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-015-0287-6
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Cites Work
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- A diagnostic for selecting the threshold in extreme value analysis
- Tail Index Estimation for Heavy-Tailed Models: Accommodation of Bias in Weighted Log-Excesses
- Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
- Asymptotic behavior of hill's estimator for autoregressive data
- Using a bootstrap method to choose the sample fraction in tail index estimation
- Semi-parametric estimation for heavy tailed distributions
- Implicit renewal theory and tails of solutions of random equations
Cited In (22)
- 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
- Extreme quantile estimation for \(\beta\)-mixing time series and applications
- Extreme M-quantiles as risk measures: from \(L^{1}\) to \(L^{p}\) optimization
- Too Connected to Fail? Inferring Network Ties From Price Co-Movements
- Large deviations of \(\ell^p\)-blocks of regularly varying time series and applications to cluster inference
- Estimation for heavy tailed moving average process.
- Bias correction in multivariate extremes
- Tail expectile process and risk assessment
- Joint inference on extreme expectiles for multivariate heavy-tailed distributions
- Improved estimators of tail index and extreme quantiles under dependence serials
- Estimation of the distortion risk premium for heavy-tailed losses under serial dependence
- Multiple block sizes and overlapping blocks for multivariate time series extremes
- Stable sums to infer high return levels of multivariate rainfall time series
- Adapting the Hill estimator to distributed inference: dealing with the bias
- Some variations on the extremal index
- A horse race between the block maxima method and the peak-over-threshold approach
- Tail and quantile estimation for real-valued \(\beta\)-mixing spatial data
- ExtremeRisks
- Extreme quantile estimation for dependent data, with applications to finance
- Tail risk inference via expectiles in heavy-tailed time series
- Estimation of the adjusted standard-deviatile for extreme risks
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