Extreme-quantile tracking for financial time series
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Publication:2451784
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Cited in
(36)- Extreme quantile estimation for dependent data, with applications to finance
- Adapting extreme value statistics to financial time series: dealing with bias and serial dependence
- Estimating financial risk under time-varying extremal return behavior
- Extreme quantile estimation for \(\beta\)-mixing time series and applications
- From concentration profiles to concentration maps. New tools for the study of loss distributions
- Extreme M-quantiles as risk measures: from \(L^{1}\) to \(L^{p}\) optimization
- Modeling maxima with autoregressive conditional Fréchet model
- A change-point approach for the identification of financial extreme regimes
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- Extreme quantile estimation based on financial time series
- Analyzing and predicting cat bond premiums: a financial loss premium principle and extreme value modeling
- Assessment of dependent risk using extreme value theory in a time-varying framework
- Composite bias‐reduced Lp‐quantile‐based estimators of extreme quantiles and expectiles
- A multiobjective optimization approach for threshold determination in extreme value analysis for financial time series
- Extremal Dependence-Based Specification Testing of Time Series
- Estimation of the adjusted standard-deviatile for extreme risks
- Similarity-based clustering for patterns of extreme values
- Dynamic Bivariate Peak Over Threshold Model for Joint Tail Risk Dynamics of Financial Markets
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- Weak signals and heavy tails: learning theory meets extreme value analysis
- Modeling extreme risk with fixed-k autoregressive conditional Fréchet model
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