Discussion on “on studying extreme values and systematic risks with nonlinear time series models and tail dependence measures”

DOI10.1080/24754269.2021.1895528OpenAlexW3142891152MaRDI QIDQ5880055

Huixia Judy Wang, Wen Xu

Publication date: 7 March 2023

Published in: Statistical Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/24754269.2021.1895528

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (1)

Rejoinder of “On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures”

Cites Work

• The asymptotic distributions of the largest entries of sample correlation matrices.
• Semiparametric modeling and estimation of heteroscedasticity in regression analysis of cross-sectional data
• Asymptotic theory for maximum deviations of sample covariance matrix estimates
• Local Buckley-James estimation for heteroscedastic accelerated failure time model
• Estimation of High Conditional Quantiles for Heavy-Tailed Distributions
• Two-Sample Covariance Matrix Testing and Support Recovery in High-Dimensional and Sparse Settings
• Extreme Quantile Estimation Based on the Tail Single-index Model
• Two-Sample Test of High Dimensional Means Under Dependence
• An Adaptive Test on High-dimensional Parameters in Generalized Linear Models
• Quantile Correlations and Quantile Autoregressive Modeling
• An adaptive two-sample test for high-dimensional means

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