Where does the tail begin? An approach based on scoring rules

Statistics of extreme values; tail inference (62G32) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial networks (including contagion, systemic risk, regulation) (91G45)

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Cites work

A directory of coefficients of tail dependence
A simple general approach to inference about the tail of a distribution
A structural break test for extremal dependence in -mixing random vectors
Bivariate extreme statistics. I
Change point tests for the tail index of -mixing random variables
Comparing density forecasts using threshold- and quantile-weighted scoring rules
Detecting tail risk differences in multivariate time series
Discussion of ``Elicitability and backtesting: perspectives for banking regulation
Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
Extreme quantile estimation for dependent data, with applications to finance
Extreme Value Modeling and Risk Analysis
Extreme value theory. An introduction.
Generalized autoregressive conditional heteroscedasticity
Heavy-Tail Phenomena
scientific article; zbMATH DE number 1026574 (Why is no real title available?)
scientific article; zbMATH DE number 1085999 (Why is no real title available?)
Institutional Investors and Stock Market Volatility
Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations
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Making and evaluating point forecasts
Nonparametric tests for constant tail dependence with an application to energy and finance
ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA
Power-law distributions in empirical data
Rank -1/2: a simple way to improve the OLS estimation of tail exponents
Refined Pickands estimators of the extreme value index
Regression Quantiles
Regular Variation and Extremal Dependence of GARCH Residuals with Application to Market Risk Measures
Robust Statistics
Second order regular variation and conditional tail expectation of multiple risks
Selecting the optimal sample fraction in univariate extreme value estimation
Smoothing the Hill Estimator
Statistical inference using extreme order statistics
Statistics for near independence in multivariate extreme values
Statistics of Extremes
Strictly Proper Scoring Rules, Prediction, and Estimation
Structural change tests in tail behaviour and the Asian crisis
Tail index estimation and an exponential regression model
Testing for (in)finite moments
The sample autocorrelations of heavy-tailed processes with applications to ARCH
Using a bootstrap method to choose the sample fraction in tail index estimation
Value-at-Risk Prediction: A Comparison of Alternative Strategies
Zipf's Law for Cities: An Explanation

Cited in

(2)

Forecasting extreme negative returns in gold and silver: a discrete-duration approach to POT models
Tail inference: where does the tail begin?

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