Extreme-value copulas arise as the possible limits of copulas of componentwise maxima of independent, identically distributed samples.The use of bivariate extreme-value copulas is greatly facilitated by their representation in terms of Pickands dependence functions.The two main families of...

We study mixed hitting-time models, which specify durations as the first time a Levy process (a continuous-time process with stationary and independent increments) crosses a heterogeneous threshold. Such models of substantial interest because they can be reduced from optimal-stopping models with...

To accommodate the inhomogenous character of financial time series over longer time periods, standard parametric models can be extended by allow- ing their coeffcients to vary over time. Focusing on conditional heteroscedas- ticity models, we discuss various strategies to identify and estimate...

This paper illustrates how to compare different microscopic simulation (MS) models and how to compare a MS model with real data in case the parameters of interest are estimated non- or semiparametrically.As examples we investigate the marginal single-period probability density function of stock...

Multiple quantile plots provide a powerful graphical method for comparing the distributions of two or more populations. This paper develops a method of visualizing triple quantile plots and their associated confidence tubes, thus extending the notion of a QQ plot to three dimensions. More...

AMS classifications: 62G05; 62G07; 62G08; 62G20; 62G32;

Many estimation methods of truncated and censored regression models such as the maximum likelihood and symmetrically censored least squares (SCLS) are sensitive to outliers and data contamination as we document. Therefore, we propose a semipara- metric general trimmed estimator (GTE) of...

Risk assessments often encounter extreme settings with very few or no occurrences in reality.Inferences about risk indicators in such settings face the problem of insufficient data.Extreme value theory is particularly well suited for handling this type of problems.This paper uses a multivariate...

The shorth plot is a tool to investigate probability mass concentration. It is a graphical representation of the length of the shorth, the shortest interval covering a certain fraction of the distribution, localized by forcing the intervals considered to contain a given point x. It is easy to...