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Extreme expectile estimation for short-tailed data, with an application to market risk assessment
Daouia, Abdelaati; Padoan, Simone A.; Stupfler, Gilles - 2023
Persistent link: https://www.econbiz.de/10014227990
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Efficient Estimation in Extreme Value Regression Models of Hedge Fund Tail Risks
Hambuckers, Julien; Kratz, Marie; Usseglio-Carleve, Antoine - 2023
which data are discarded, leading to estimation inefficiencies. To solve these issues, we extend the tail regression model … issues at the estimation stage. We illustrate the superiority of our approach for inference over classical peaks …
Persistent link: https://www.econbiz.de/10014359412
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Efficient estimation in extreme value regression models of hedge fund tail risks
Hambuckers, Julien; Kratz, Marie; Usseglio-Carleve, Antoine - 2023
Persistent link: https://www.econbiz.de/10014412457
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Extreme quantile estimation for β-mixing time series and applications
Chavez-Demoulin, Valérie; Guillou, Armelle - In: Insurance / Mathematics & economics 83 (2018), pp. 59-74
Persistent link: https://www.econbiz.de/10011944097
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Extreme value models in a conditional duration intensity framework
Herrera, Rodrigo; Schipp, Bernhard - 2011
prefiltration of the data, which certainly impacts the estimation. We make use of the proposed model to obtain an improved estimate …
Persistent link: https://www.econbiz.de/10009009682
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Value at risk forecasts by extreme value models in a conditional duration framework
Herrera, Rodrigo; Schipp, Bernhard - In: Journal of empirical finance 23 (2013), pp. 33-47
Persistent link: https://www.econbiz.de/10010221789
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Extremal quantiles and stock price crashes
Andreou, Panayiotis C.; Anyfantaki, Sofia; Maasoumi, … - In: Econometric reviews 42 (2023) 9/10, pp. 703-724
Persistent link: https://www.econbiz.de/10014420354
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Prediction of extremal expectile based on regression models with heteroscedastic extremes
Xu, Wen; Hou, Yanxi; Li, Deyuan - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 522-536
Persistent link: https://www.econbiz.de/10013533450
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Nonparametric expectile regression for conditional autoregressive expected shortfall estimation
Righi, Marcelo Brutti; Yang, Yi; Ceretta, Paulo Sergio - In: Risk manangement post financial crisis : a period of …, (pp. 83-95). 2014
Persistent link: https://www.econbiz.de/10010430687
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Value-at-risk and extreme returns
Daníelsson, Jón; Vries, Casper G. de - 1997
Accurate prediction of the frequency of extreme events is of primary importance in many financialapplications such as Value-at-Risk (VaR) analysis. We propose a semi-parametric method for VaRevaluation. The largest risks are modelled parametrically, while smaller risks are captured by the...
Persistent link: https://www.econbiz.de/10010533206