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On Zipf's law and the bias of Zipf regressions
Schluter, Christian - In: Empirical economics : a quarterly journal of the … 61 (2021) 2, pp. 529-548
Persistent link: https://www.econbiz.de/10012616865
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Distributionally robust inference for extreme Value-at-Risk
Yuen, Robert; Stoev, Stilian; Cooley, Daniel - In: Insurance / Mathematics & economics 92 (2020), pp. 70-89
Persistent link: https://www.econbiz.de/10012242040
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Combined tail estimation using censored data and expert information
Bladt, Martin; Albrecher, Hansjörg; Beirlant, Jan - In: Scandinavian actuarial journal 2020 (2020) 6, pp. 503-525
Persistent link: https://www.econbiz.de/10012262751
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Closed-form estimators for finite-order ARCH models as simple and competitive alternatives to QMLE
Prono, Todd - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 22 (2018) 5, pp. 1-25
Persistent link: https://www.econbiz.de/10011965371
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Inference on the tail process with application to financial time series modeling
Davis, Richard A.; Drees, Holger; Segers, Johan; … - In: Journal of econometrics 205 (2018) 2, pp. 508-525
Persistent link: https://www.econbiz.de/10012110330
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Limit theory of model order change-point estimator for GARCH models
Irungu, Irene W.; Mwita, Peter N.; Waititu, Antony G. - In: Journal of mathematical finance 8 (2018) 2, pp. 426-445
Persistent link: https://www.econbiz.de/10011875287
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Systemic risk : an asymptotic evaluation
Asimit, Alexandru V.; Li, Jinzhu - In: Astin bulletin : the journal of the International … 48 (2018) 2, pp. 673-698
Persistent link: https://www.econbiz.de/10011875678
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Robust inference in conditionally heteroskedastic autoregressions
Pedersen, Rasmus Søndergaard - In: Econometric reviews 39 (2020) 3, pp. 244-259
Persistent link: https://www.econbiz.de/10012181447
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Top incomes, heavy tails, and rank-size regressions
Schluter, Christian - In: Econometrics : open access journal 6 (2018) 1, pp. 1-16
In economics, rank-size regressions provide popular estimators of tail exponents of heavy-tailed distributions. We discuss the properties of this approach when the tail of the distribution is regularly varying rather than strictly Pareto. The estimator then over-estimates the true value in the...
Persistent link: https://www.econbiz.de/10011823274
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Regular variation of popular GARCH processes allowing for distributional asymmetry
Prono, Todd - 2017 - First version: August 2017
Linear GARCH(1,1) and threshold GARCH(1,1) processes are established as regularly varying, meaning their heavy tails are Pareto like, under conditions that allow the innovations from the, respective, processes to be skewed. Skewness is considered a stylized fact for many financial returns...
Persistent link: https://www.econbiz.de/10011803123