Risk Analysis via Generalized Pareto Distributions

Cites Work

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Generalized autoregressive conditional heteroscedasticity
Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
Statistical inference using extreme order statistics
Empirical likelihood
Maximum likelihood estimation in a class of nonregular cases
Estimating value-at-risk: a point process approach
Residual life time at great age
Estimating tails of probability distributions
On maximum likelihood estimation of the extreme value index.
On the maximum likelihood estimator for the generalized extreme-value distribution
Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
The extent of the maximum likelihood estimator for the extreme value index
Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models
Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models
Estimation of jump tails
Inference in Arch and Garch Models with Heavy-Tailed Errors
Fitting an error distribution in some heteroscedastic time series models
Inference for conditional value-at-risk of a predictive regression
Extreme-quantile tracking for financial time series
Bootstrapping the Portmanteau Tests in Weak Auto-Regressive Moving Average Models
Extreme value statistics and wind storm losses: A case study
Existence and consistency of the maximum likelihood estimator for the extreme value index
Univariate and bivariate GPD methods for predicting extreme wind storm losses
On the Size Distribution of Macroeconomic Disasters
Existence and consistency of the maximum likelihood estimators for the extreme value index within the block maxima framework
Maximum likelihood estimation of extreme value index for irregular cases
NONPARAMETRIC ESTIMATION OF CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL BASED ON EXTREME VALUE THEORY
Statistical inference for autoregressive models under heteroscedasticity of unknown form
Confidence Intervals for Conditional Tail Risk Measures in ARMA–GARCH Models

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Online prediction of extreme conditional quantiles via B-spline interpolation

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