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Adapting extreme value statistics to financial time series : dealing with bias and serial dependence
Haan, Laurens de; Mercadier, Cécile; Chen Zhou - In: Finance and stochastics 20 (2016) 2, pp. 321-354
Persistent link: https://www.econbiz.de/10011471063
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Statistics of heteroscedastic extremes
Einmahl, John H. J.; Haan, Laurens de; Chen Zhou - 2014
Persistent link: https://www.econbiz.de/10010395089
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Testing the multivariate regular variation model
Einmahl, John H. J.; Yang, Fan; Chen Zhou - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 4, pp. 907-919
Persistent link: https://www.econbiz.de/10012653202
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Extreme value statistics in semi-supervised models
Ahmed, Hanan; Einmahl, John H. J.; Chen Zhou - 2021
Persistent link: https://www.econbiz.de/10012439457
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Testing the multivariate regular variation model
Einmahl, John H. J.; Yang, Fan; Chen Zhou - 2018
Persistent link: https://www.econbiz.de/10011920524
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Tail copula estimation for heteroscedastic extremes
Einmahl, John H. J.; Chen Zhou - 2024
Persistent link: https://www.econbiz.de/10014467520