Extreme tail risk estimation with the generalized Pareto distribution under the peaks-over-threshold framework

DOI10.1080/03610926.2018.1549253OpenAlexW2906901399MaRDI QIDQ5085614

Xu Zhao, Pengyue Zhang, Wei-hu Cheng

Publication date: 27 June 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2018.1549253

zbMATH Keywords

extreme valuesthresholdvalue at risk (VaR)expectilespeaks-over-threshold

Mathematics Subject Classification ID

Statistics (62-XX)

Uses Software

• LMOMENTS

Cites Work

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• Automated threshold selection for extreme value analysis via ordered goodness-of-fit tests with adjustment for false discovery rate
• Asymmetric Least Squares Estimation and Testing
• Assessing value at risk with CARE, the conditional autoregressive expectile models
• Expectile asymptotics
• Geoadditive expectile regression
• Residual life time at great age
• Statistical inference using extreme order statistics
• Likelihood inference for generalized Pareto distribution
• Estimating extreme tail risk measures with generalized Pareto distribution
• Parameter and quantile estimation for the generalized Pareto distribution in peaks over threshold framework
• LIKELIHOOD MOMENT ESTIMATION FOR THE GENERALIZED PARETO DISTRIBUTION
• Parameter and Quantile Estimation for the Generalized Pareto Distribution
• Estimation of Tail Risk Based on Extreme Expectiles
• Computing Maximum Likelihood Estimates for the Generalized Pareto Distribution
• Sequential Selection Procedures and False Discovery Rate Control
• Statistical Inference for Expectile‐based Risk Measures

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