Tail risk inference via expectiles in heavy-tailed time series

DOI10.1080/07350015.2022.2078332MaRDI QIDQ135350zbMATH OpenOpenAlexFDO

Authors Anthony C. Davison, Simone Padoan, Gilles Stupfler, A. C. Davison, S. A. Padoan, Gilles Stupfler

Publication date 8 April 2020

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2004.04078

zbMATH Keywords

weak dependenceasymmetric least squares estimationmarginal expected shortfallmixingtail copula

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Applications of statistics to economics (62P20) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)

Abstract: Expectiles define the only law-invariant, coherent and elicitable risk measure apart from the expectation. The popularity of expectile-based risk measures is steadily growing and their properties have been studied for independent data, but further results are needed to use extreme expectiles with dependent time series such as financial data. In this paper we establish a basis for inference on extreme expectiles and expectile-based marginal expected shortfall in a general $$-mixing context that encompasses ARMA, ARCH and GARCH models with heavy-tailed innovations. Simulations and applications to financial returns show that the new estimators and confidence intervals greatly improve on existing ones when the data are dependent.

Cites work

• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• A simple general approach to inference about the tail of a distribution
• Adapting extreme value statistics to financial time series: dealing with bias and serial dependence
• Assessing value at risk with CARE, the conditional autoregressive expectile models
• Asymmetric Least Squares Estimation and Testing
• Coherent measures of risk
• Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
• Estimation of Tail Risk Based on Extreme Expectiles
• Estimation of the marginal expected shortfall: the mean when a related variable is extreme
• Extreme M-quantiles as risk measures: from \(L^{1}\) to \(L^{p}\) optimization
• Extreme conditional expectile estimation in heavy-tailed heteroscedastic regression models
• Extreme quantile estimation for \(\beta\)-mixing time series and applications
• Extreme quantile estimation for dependent data, with applications to finance
• Extreme value theory. An introduction.
• Generalized quantiles as risk measures
• Limit theorems for empirical processes of cluster functionals
• Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
• MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS
• Making and evaluating point forecasts
• Mixing: Properties and examples
• New weighted portmanteau statistics for time series goodness of fit testing
• Semiparametric regression with R
• Stationarity and geometric ergodicity of BEKK multivariate GARCH models
• Tail expectile process and risk assessment
• Weighted approximations of tail processes for \(\beta\)-mixing random variables.

Cited in

(5)

• Inference for extremal regression with dependent heavy-tailed data
• ExtremeRisks
• Estimation of the conditional tail moment for Weibull-type distributions
• Tail risk monotonicity in GARCH(1,1) models
• Estimation of tail risk using extreme expectiles in linear GARCH models with heavy-tailed error

This page was built for publication: Tail risk inference via expectiles in heavy-tailed time series

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q135350)