ExtremeRisks
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CRANExtremeRisksMaRDI QIDQ135352FDOQ135352
Extreme Risk Measures
Gilles Stupfler, Simone Padoan
Last update: 27 August 2020
Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0
Software version identifier: 0.0.4
- 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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