Where does the tail begin? An approach based on scoring rules

DOI10.1080/07474938.2019.1697087zbMath1490.62117OpenAlexW2995863990WikidataQ126587759 ScholiaQ126587759MaRDI QIDQ5860997

Yannick Hoga

Publication date: 4 March 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938.2019.1697087

zbMATH Keywords

tail indexvalue-at-riskHill estimatorrisk managementoptimal sample fraction

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32) Financial networks (including contagion, systemic risk, regulation) (91G45)

Uses Software

• plfit

Cites Work

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