Adapting extreme value statistics to financial time series: dealing with bias and serial dependence

DOI10.1007/s00780-015-0287-6zbMath1380.62246OpenAlexW2222335248WikidataQ59471312 ScholiaQ59471312MaRDI QIDQ135348

Laurens De Haan, Chen Zhou, Cécile Mercadier, Cécile 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

zbMATH Keywords

Hill estimatorbias correction\(\beta\)-mixing conditiontail quantile process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)

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