ExtremeRisks
From MaRDI portal
- Estimation of Tail Risk Based on Extreme Expectiles
- Weighted approximations of tail processes for $\beta$-mixing random variables
- Extreme quantile estimation for dependent data, with applications to finance
- Extreme Value Theory
- Adapting extreme value statistics to financial time series: dealing with bias and serial dependence
- Tail risk inference via expectiles in heavy-tailed time series
- Joint inference on extreme expectiles for multivariate heavy-tailed distributions
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