Modeling Extreme Events: Time-Varying Extreme Tail Shape

DOI10.1080/07350015.2023.2260439zbMATH Open1547.62698MaRDI QIDQ6626257

Andre Lucas, Bernd Schwaab, [[Person:6165293|Author name not available (Why is that?)]], Xin Zhang

Publication date: 28 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

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
• Multiple structural changes in the tail behavior: Evidence from stock index futures returns
• A simple general approach to inference about the tail of a distribution
• Time-varying extreme value dependence with application to leading European stock markets
• Local robust estimation of the Pickands dependence function
• Dynamic semiparametric models for expected shortfall (and value-at-risk)
• Bootstrapping non-stationary stochastic volatility
• Maximum likelihood estimation for score-driven models
• Extreme-quantile tracking for financial time series
• Structural change tests in tail behaviour and the Asian crisis
• Dynamic Models for Volatility and Heavy Tails
• Kalman Filtering with Random Coefficients and Contractions
• Regression‐type models for extremal dependence
• Testing for changes in (extreme) VaR
• Tail Index Regression
• Information-theoretic optimality of observation-driven time series models for continuous responses
• ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH
• Statistics of Heteroscedastic Extremes
• An introduction to statistical modeling of extreme values
• Trends in Extreme Value Indices
• Dynamic conditional eigenvalue GARCH
• A dynamic conditional score model for the log correlation matrix
• Semiparametric modeling of multiple quantiles
• Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads

This page was built for publication: Modeling Extreme Events: Time-Varying Extreme Tail Shape

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6626257)