Risk Analysis via Generalized Pareto Distributions
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Cites work
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Bootstrapping the portmanteau tests in weak auto-regressive moving average models
- Confidence Intervals for Conditional Tail Risk Measures in ARMA–GARCH Models
- Empirical likelihood
- Estimating tails of probability distributions
- Estimating value-at-risk: a point process approach
- Estimation of jump tails
- Existence and consistency of the maximum likelihood estimator for the extreme value index
- Existence and consistency of the maximum likelihood estimators for the extreme value index within the block maxima framework
- Extreme value statistics and wind storm losses: A case study
- Extreme-quantile tracking for financial time series
- Fitting an error distribution in some heteroscedastic time series models
- Generalized autoregressive conditional heteroscedasticity
- Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models
- scientific article; zbMATH DE number 4159879 (Why is no real title available?)
- scientific article; zbMATH DE number 4030574 (Why is no real title available?)
- scientific article; zbMATH DE number 1026574 (Why is no real title available?)
- scientific article; zbMATH DE number 3103824 (Why is no real title available?)
- Inference for conditional value-at-risk of a predictive regression
- Inference in Arch and Garch Models with Heavy-Tailed Errors
- Maximum likelihood estimation in a class of nonregular cases
- Maximum likelihood estimation of extreme value index for irregular cases
- Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
- NONPARAMETRIC ESTIMATION OF CONDITIONAL VALUE-AT-RISK AND EXPECTED SHORTFALL BASED ON EXTREME VALUE THEORY
- On maximum likelihood estimation of the extreme value index.
- On the maximum likelihood estimator for the generalized extreme-value distribution
- On the size distribution of macroeconomic disasters
- Residual life time at great age
- Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models
- Statistical inference for autoregressive models under heteroscedasticity of unknown form
- Statistical inference using extreme order statistics
- The extent of the maximum likelihood estimator for the extreme value index
- Univariate and bivariate GPD methods for predicting extreme wind storm losses
Cited in
(4)- Online prediction of extreme conditional quantiles via B-spline interpolation
- Extreme conditional tail risk inference in ARMA-GARCH models
- Unified estimation of conditional distortion risk measures and expectiles in APARCH-X models
- Generalised Bayesian model averaging for threshold uncertainty in GPD mixture models
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