To overcome the main flaw of minimum covariance determinant (MCD) estimator, i.e. difficulty to determine its main parameter <italic>h</italic>, a modified-MCD (M-MCD) algorithm is proposed. In M-MCD, the self-adaptive iteration is proposed to minimize the deflection between the standard deviation of robust...

This paper applies extreme value theory (EVT) to estimate the tails of return series of Chinese yuan (CNY) exchange rates. We find that the degree of fitting Pareto distribution to the data of the tail of return series is extremely high. The empirical results indicate that expected shortfall...