SLOW VARIATION WITH REMAINDER: THEORY AND APPLICATIONS

Laplace transform (44A10) Rate of growth of functions, orders of infinity, slowly varying functions (26A12) Monotonic functions, generalizations (26A48)

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Fat tail distributions and local thin tail alternatives
Test for tail index change in stationary time series with Pareto-type marginal distribution
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Selecting the optimal sample fraction in univariate extreme value estimation
Estimation of a tail index based on minimum density power divergence
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Asymptotically balanced functions and the asymptotic behaviour of the complementary function and the Laplace transform
Are there common values in first-price auctions? A tail-index nonparametric test
Evaluating currency risk in emerging markets
Tail index estimation based on survey data
On a relationship between randomly and non-randomly thresholded empirical average excesses for heavy tails
On discrimination between classes of distribution tails
Structural stochastic volatility in asset pricing dynamics: estimation and model contest
Change point test of tail index for autoregressive processes
Risk forecasting in the context of time series
∏-Variation with Remainder
Tail index varying coefficient model
Some results on the behaviour of hill's estimator
Reiss and Thomas' automatic selection of the number of extremes
Change point test for tail index for dependent data
Asymptotically efficient estimation of the index of regular variation
Large deviation theorem for Hill's estimator
Weak limiting behaviour of a simple tail Pareto-index estimator
Extreme values statistics for Markov chains via the (pseudo-) regenerative method
Estimation of central shapes of error distributions in linear regression problems
Estimating dimension from small samples
Estimation and inference about tail features with tail censored data
On an improvement of Hill and some other estimators
Tail index estimation for tail adversarial stable time series with an application to high-dimensional tail clustering
The method of moments ratio estimator for the tail shape parameter
Estimation of distribution tails —a semiparametric approach
On functional central limit theorems for dependent, heterogeneous arrays with applications to tail index and tail dependence estimation
ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA
Regenerative block-bootstrap confidence intervals for tail and extremal indexes
Asymptotic analysis of stock price densities and implied volatilities in mixed stochastic models
The limiting distribution of extremal exchange rate returns
A REMARK CONCERNING VALUE-AT-RISK
Subsampling the distribution of diverging statistics with applications to finance
A class of location invariant estimators for heavy tailed distributions
No-tie conditions for large values of extremal processes
Quantifying closeness of distributions of sums and maxima when tails are fat
On uniform confidence intervals for the tail index and the extreme quantile
Extremal memory of stochastic volatility with an application to tail shape inference
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Estimation of the tail exponent of multivariate regular variation
NONPARAMETRIC ESTIMATION OF CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL BASED ON EXTREME VALUE THEORY
Tail index estimation for discrete heavy-tailed distributions with application to statistical inference for regular Markov chains
Optimal stopping of a random sequence with unknown distribution
Estimation of the maximal moment exponent of a GARCH(1,1) sequence
An extension of the concept of slowly varying function with applications to large deviation limit theorems

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