Pages that link to "Item:Q135341"
From MaRDI portal
The following pages link to Extreme quantile estimation for dependent data, with applications to finance (Q135341):
Displaying 50 items.
- A simple generalisation of the Hill estimator (Q130015) (← links)
- Adapting extreme value statistics to financial time series: dealing with bias and serial dependence (Q135348) (← links)
- Tail risk inference via expectiles in heavy-tailed time series (Q135350) (← links)
- ExtremeRisks (Q135352) (← links)
- On the tail index inference for heavy-tailed GARCH-type innovations (Q263253) (← links)
- Approximation of high quantiles from intermediate quantiles (Q347150) (← links)
- Extremal behavior of pMAX processes (Q395963) (← links)
- On the measurement and treatment of extremes in time series (Q508717) (← links)
- Monitoring multivariate time series (Q511999) (← links)
- Towards estimating extremal serial dependence via the bootstrapped extremogram (Q528029) (← links)
- The tail empirical process for long memory stochastic volatility sequences (Q617913) (← links)
- Change point test for tail index for dependent data (Q649099) (← links)
- Sequential monitoring of the tail behavior of dependent data (Q729715) (← links)
- Estimating catastrophic quantile levels for heavy-tailed distributions (Q977160) (← links)
- Limit theorems for empirical processes of cluster functionals (Q988001) (← links)
- Modeling rare events through a \(p\)RARMAX process (Q989285) (← links)
- Inference for the limiting cluster size distribution of extreme values (Q1002158) (← links)
- Some aspects of extreme value statistics under serial dependence (Q1003318) (← links)
- Weak convergence of the tail empirical process for dependent sequences (Q1004402) (← links)
- Extreme quantile estimation for \(\beta\)-mixing time series and applications (Q1622510) (← links)
- Extreme value analysis of actuarial risks: estimation and model validation (Q1633245) (← links)
- Extreme value estimation for discretely sampled continuous processes (Q1633432) (← links)
- Inference on the tail process with application to financial time series modeling (Q1644260) (← links)
- Extreme M-quantiles as risk measures: from \(L^{1}\) to \(L^{p}\) optimization (Q1715530) (← links)
- Diagnostic check for heavy tail in linear time series (Q1731253) (← links)
- Asymptotic normality of the likelihood moment estimators for a stationary linear process with heavy-tailed innovations (Q1744173) (← links)
- An improved method for forecasting spare parts demand using extreme value theory (Q1753565) (← links)
- Extreme quantiles estimation for actuarial applications (Q1887025) (← links)
- Predicting extreme value at risk: nonparametric quantile regression with refinements from extreme value theory (Q1927187) (← links)
- On extremal dependence: some contributions (Q1936535) (← links)
- The tail empirical process of regularly varying functions of geometrically ergodic Markov chains (Q2010476) (← links)
- Extreme conditional expectile estimation in heavy-tailed heteroscedastic regression models (Q2073711) (← links)
- Joint inference on extreme expectiles for multivariate heavy-tailed distributions (Q2137005) (← links)
- Peak-over-threshold estimators for spectral tail processes: random vs deterministic thresholds (Q2198603) (← links)
- ExpectHill estimation, extreme risk and heavy tails (Q2225005) (← links)
- Tail and dependence behavior of levels that persist for a fixed period of time (Q2271707) (← links)
- On a relationship between randomly and non-randomly thresholded empirical average excesses for heavy tails (Q2283057) (← links)
- Risk forecasting in the context of time series (Q2304433) (← links)
- Test for tail index constancy of GARCH innovations based on conditional volatility (Q2317888) (← links)
- On consistency of the likelihood moment estimators for a linear process with regularly varying innovations (Q2363665) (← links)
- Extreme-quantile tracking for financial time series (Q2451784) (← links)
- Measuring and comparing risks of different types (Q2670105) (← links)
- A new random field on lattices (Q2670777) (← links)
- Extreme-value based estimation of the conditional tail moment with application to reinsurance rating (Q2682980) (← links)
- Tail and quantile estimation for real-valued \(\beta\)-mixing spatial data (Q2693222) (← links)
- Adaptive PORT–MVRB estimation: an empirical comparison of two heuristic algorithms (Q2862408) (← links)
- On the extremal behavior of a Pareto process: an alternative for ARMAX modeling (Q2893932) (← links)
- Reduced-Bias Location-Invariant Extreme Value Index Estimation: A Simulation Study (Q3015856) (← links)
- Workload Portfolio Optimization for Virtualized Computer Systems Based on Semiparametric Quantile Function Estimation (Q3101560) (← links)
- Quantile Estimation in Dependent Sequences (Q3321245) (← links)
