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Estimating asymmetric dynamic distributions in high dimensions

Anatolyev, Stanislav; Khabibullin, Renat; Prokhorov, Artem - In: Asymmetric dependence in finance : diversification, …, (pp. 169-197). 2018

Persistent link: https://www.econbiz.de/10011978496

Heavy tails and copulas : limits of diversification revisited

Ibragimov, Rustam Ju.; Prokhorov, Artem - In: Economics letters 149 (2016), pp. 102-107

Persistent link: https://www.econbiz.de/10011620157

GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference

Hill, Jonathan B.; Prokhorov, Artem - In: Journal of econometrics 190 (2016) 1, pp. 18-45

Persistent link: https://www.econbiz.de/10011591613

Reconstructing high dimensional dynamic distributions from ditributions of lower dimension

Anatolyev, Stanislav; Khabibullin, Renat; Prokhorov, Artem - 2012

Persistent link: https://www.econbiz.de/10009509704

An algorithm for constructing high dimensional distributions from distributions of lower dimension

Anatolyev, Stanislav; Khabibullin, Renat; Prokhorov, Artem - In: Economics letters 123 (2014) 3, pp. 257-261

Persistent link: https://www.econbiz.de/10010400222

Forecasting Tail Risk Measures for Financial Time Series : An Extreme Value Approach With Covariates

James, Robert; Leung, Henry; Leung, Jessica Wai Yin; … - 2021

The paper develops a tail risk forecasting model that incorporates the wealth of economic and financial information available to risk managers. The approach can be viewed as a regularized extension of the two-stage GARCH-EVT model of McNeil and Frey (2000) where we permit a time-varying...

Persistent link: https://www.econbiz.de/10013214142

Forecasting tail risk measures for financial time series : an extreme value approach with covariates

James, Robert; Leung, Henry; Leung, Jessica Wai Yin; … - In: Journal of empirical finance 71 (2023), pp. 29-50

Persistent link: https://www.econbiz.de/10014292519