Extreme-quantile tracking for financial time series

DOI10.1016/j.jeconom.2014.02.007zbMath1311.91160OpenAlexW3123019865MaRDI QIDQ2451784

Sylvain Sardy, Valérie Chavez-Demoulin, Paul Embrechts

Publication date: 4 June 2014

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2014.02.007

zbMATH Keywords

Bayesian analysisregime switchingvalue-at-riskMarkov random fieldfinancial time seriesquantile estimationstatistics of extremesgeneralized Pareto distributionpeaks-over-thresholdconditional risk measures

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Statistics of extreme values; tail inference (62G32) Economic time series analysis (91B84)

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Uses Software

• ismev
• QRM

Cites Work

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