Tail Index Estimation for a Filtered Dependent Time Series

DOI10.5705/ss.2012.212OpenAlexW3123742312MaRDI QIDQ3449021

Jonathan B. Hill

Publication date: 3 November 2015

Published in: Statistica Sinica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.5705/ss.2012.212

zbMATH Keywords

weak dependenceregression residualstail index estimationGARCH filter

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (5)

GARCH-UGH: a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series ⋮ GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference ⋮ Multivariate moment based extreme value index estimators ⋮ Extremal Dependence-Based Specification Testing of Time Series ⋮ Extreme conditional expectile estimation in heavy-tailed heteroscedastic regression models

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