Tail index regression
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- Regression-type analysis for multivariate extreme values
- An extreme value Bayesian Lasso for the conditional left and right tails
- Improved inference on risk measures for univariate extremes
- Asymptotic analysis of portfolio diversification
- A nonparametric estimator for the conditional tail index of Pareto-type distributions
- Bias-corrected estimation for conditional Pareto-type distributions with random right censoring
- Robust conditional Weibull-type estimation
- Local robust and asymptotically unbiased estimation of conditional Pareto-type tails
- Extremal quantile autoregression for heavy-tailed time series
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- A local moment type estimator for the extreme value index in regression with random covariates
- Non-parametric estimation of extreme risk measures from conditional heavy-tailed distributions
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- Kernel regression with Weibull-type tails
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- Local estimation of the second-order parameter in extreme value statistics and local unbiased estimation of the tail index
- Estimation of the conditional tail index using a smoothed local Hill estimator
- Estimation of high conditional quantiles for heavy-tailed distributions
- A general estimator for the extreme value index: applications to conditional and heteroscedastic extremes
- Uniform asymptotic properties of a nonparametric regression estimator of conditional tails
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- Tail index varying coefficient model
- Extreme Quantile Estimation Based on the Tail Single-index Model
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- ESTIMATION OF HIGH CONDITIONAL TAIL RISK BASED ON EXPECTILE REGRESSION
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- Gradient boosting for extreme quantile regression
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- Hypothesis testing for varying coefficient models in tail index regression
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- Modeling Extreme Events: Time-Varying Extreme Tail Shape
- Extreme Quantile Estimation for Autoregressive Models
- Extremal Random Forests
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- Conditional extreme value estimation for dependent time series
- Heavy-tailed NGG-mixture models
- Semiparametric Bayesian modelling of nonstationary joint extremes: how do big tech's extreme losses behave?
- Asymptotic theory for extreme value generalized additive model
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- Tail single-index regression with locally stationary regressors
- Mixed effects models for extreme value index regression
- Extremal local linear quantile regression for nonlinear dependent processes
- Heterogeneous extremes in the presence of random covariates and censoring
- Application of nonparametric approach to extreme value inference in distribution estimation of sample maximum and its properties
- Bayesian smoothing for time-varying extremal dependence
- From scarcity to insight: extreme events analysis with a partially linear single-index varying-coefficient model in high-dimensional settings
- Robust econometrics for growth-at-risk
- Estimating the conditional extreme-value index under random right-censoring
- Regression with response distributions of Pareto-type
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