Modeling Tail Index With Autoregressive Conditional Pareto Model

DOI10.1080/07350015.2020.1832504zbMATH Open1547.62915MaRDI QIDQ6620871

Author name not available (Why is that?), Author name not available (Why is that?), Yu Chen

Publication date: 17 October 2024

Published in: Journal of Business and Economic Statistics (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

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• Residual life time at great age
• Statistical inference using extreme order statistics
• Modeling maxima with autoregressive conditional Fréchet model
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• Maximum likelihood estimation in a class of nonregular cases
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Autoregressive Conditional Density Estimation

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