On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures
From MaRDI portal
Publication:5880054
DOI10.1080/24754269.2020.1856590OpenAlexW3117590816MaRDI QIDQ5880054
Publication date: 7 March 2023
Published in: Statistical Theory and Related Fields (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/24754269.2020.1856590
extreme value theorytail dependence indexautoregressive tail index modelsmaxima of moving maximatime series of maxima
Related Items (5)
Discussion of ‘On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures’ ⋮ Rejoinder of “On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures” ⋮ Rates of convergence of powered order statistics from general error distribution ⋮ Conex-connect: learning patterns in extremal brain connectivity from multichannel EEG data ⋮ Tail adversarial stability for regularly varying linear processes and their extensions
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Copula structured M4 processes with application to high-frequency financial data
- The dynamic power law model
- On approximating max-stable processes and constructing extremal copula functions
- A generalized beta copula with applications in modeling multivariate long-tailed data
- An extension of max autoregressive models
- Prediction of stationary max-stable processes
- Bivariate extreme statistics. I
- Maxima of moving maxima of continuous functions
- Asymptotically (in)dependent multivariate maxima of moving maxima process
- A two-step estimator of the extreme value index
- Testing asymptotic independence in bivariate extremes
- The estimation of M4 processes with geometric moving patterns
- Extremes and related properties of random sequences and processes
- Point processes and multivariate extreme values
- A spectral representation for max-stable processes
- Extreme values for stationary and Markov sequences
- Moving-maximum models for extrema of time series
- Stochastic tail index model for high frequency financial data with Bayesian analysis
- Estimating the extremal index through local dependence
- On the maximum likelihood estimator for the generalized extreme-value distribution
- Modeling maxima with autoregressive conditional Fréchet model
- Mark to market value at risk
- Limit theorems for the maximum term of a stationary process
- On maximum likelihood estimation of the extreme value index.
- Sparse moving maxima models for tail dependence in multivariate financial time series
- Asymptotic independence of correlation coefficients with application to testing hypothesis of independence
- Estimation of the coefficient of tail dependence in bivariate extremes
- On the estimation and application of max-stable processes
- Quotient correlation: a sample based alternative to Pearson's correlation
- Extremal properties of M4 processes
- Efficient estimation and particle filter for max-stable processes
- Random threshold driven tail dependence measures with application to precipitation data analysis
- Dependence Modeling with Copulas
- Basic properties and prediction of max-ARMA processes
- On estimating the mean energy of sea waves from the highest waves in a record
- A Spatial Markov Model for Climate Extremes
- Extreme Value Modeling and Risk Analysis
- Models for dependent extremes using stable mixtures
- Maximum likelihood estimation in a class of nonregular cases
- Bivariate extreme value theory: Models and estimation
- Statistics for near independence in multivariate extreme values
- Limit theory for multivariate sample extremes
- Extreme values of independent stochastic processes
- On the multivariate extremal index
- Extreme Values in Finance, Telecommunications, and the Environment
- Semiparametric Dynamic Max-Copula Model for Multivariate Time Series
- The behavior of multivariate maxima of moving maxima processes
- Extremes and local dependence in stationary sequences
- Composite likelihood estimation for the Brown-Resnick process
- Extreme Values in Uniformly Mixing Stationary Stochastic Processes
- Asymptotic Extremes for $m$-Dependent Random Variables
- Extreme Value Theory as a Risk Management Tool
- Statistical methods for assessing the contagion of spatial extreme events among regions
- New extreme value theory for maxima of maxima
- An extended sparse max-linear moving model with application to high-frequency financial data
- An introduction to statistical modeling of extreme values
- Dependence measures for extreme value analyses
- A directory of coefficients of tail dependence
This page was built for publication: On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures
