Discussion of ‘On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures’

DOI10.1080/24754269.2020.1869897OpenAlexW3125702261MaRDI QIDQ5880059

Tiandong Wang, Jun Yan

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/10.1080/24754269.2020.1869897

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items

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

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Automated threshold selection for extreme value analysis via ordered goodness-of-fit tests with adjustment for false discovery rate
• The extremogram: a correlogram for extreme events
• Asymptotic independence and support detection techniques for heavy-tailed multivariate data
• Extremal dependence measure and extremogram: the regularly varying case
• Hidden regular variation under full and strong asymptotic dependence
• Asymptotic efficiency of the two-stage estimation method for copula-based models
• The Extremal Dependence Measure and Asymptotic Independence
• Models with hidden regular variation: Generation and detection
• On a measure of lack of fit in time series models
• Diagnostics for Dependence within Time Series Extremes
• Heavy-Tail Phenomena
• On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures