We propose a robust semi-parametric framework for persistent time-varying extreme tail behavior, including extreme Value-at-Risk (VaR) and Expected Shortfall (ES). The framework builds on Extreme Value Theory and uses a conditional version of the Generalized Pareto Distribution (GPD) for...

We propose a robust semi-parametric framework for persistent time-varying extreme tail behavior, including extreme Value-at-Risk (VaR) and Expected Shortfall (ES). The framework builds on Extreme Value Theory and uses a conditional version of the Generalized Pareto Distribution (GPD) for...

There has been extensive research and examination dedicated to the advantages and disadvantages of entrepreneurship, both in general and specifically for African Americans. Significant research has been devoted to understanding the economic outcomes of African American men, and there is an area...

We introduce a new, easily scalable model for dynamic conditional correlation matrices based on a recursion of dynamic bivariate partial correlation models. By exploiting the model's recursive structure and the theory of perturbed stochastic recurrence equations, we establish stationarity,...