Tail Index Estimation, Pareto Quantile Plots, and Regression Diagnostics
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Publication:4366113
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- POT-based estimator of the ruin probability in infinite time for loss models: An application to insurance risk
- Empirical likelihood based inference for conditional Pareto-type tail index
- Applied regression analysis bibliography update 1994-97
- Subsampling the distribution of diverging statistics with applications to finance
- Tail fitting for truncated and non-truncated Pareto-type distributions
- Extremal memory of stochastic volatility with an application to tail shape inference
- Nonparametric asymptotic confidence intervals for extreme quantiles
- A robust prediction error criterion for pareto modelling of upper tails
- Hidden regular variation under full and strong asymptotic dependence
- Confidence Intervals for Conditional Tail Risk Measures in ARMA–GARCH Models
- Peaks-over-threshold modeling under random censoring
- Estimation of the extreme-value index and generalized quantile plots
- A two-step estimator of the extreme value index
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