Detecting Tail Risk Differences in Multivariate Time Series

DOI10.1111/JTSA.12292zbMath1401.62157OpenAlexW2789735403MaRDI QIDQ4684332

Yannick Hoga

Publication date: 28 September 2018

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12292

zbMATH Keywords

\(\beta\)-mixingself-normalizationfunctional central limit theorymultivariate tail index estimation

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15) Statistics of extreme values; tail inference (62G32)

Related Items (4)

Joint inference on extreme expectiles for multivariate heavy-tailed distributions ⋮ Measuring and comparing risks of different types ⋮ On a relationship between randomly and non-randomly thresholded empirical average excesses for heavy tails ⋮ Where does the tail begin? An approach based on scoring rules

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