Search Results - subject:"Extremal Index"

Estimation and inference for the persistence of extremely high temperatures

Cai, Juan Juan; Lin, Yicong; Schaumburg, Julia; Wang, … - 2026

We propose a nonparametric framework for estimating the extremal index that captures the persistence of extreme …), which characterizes the extremal index yet is often assessed through heuristic checks, and for selecting d (a key parameter …

Persistent link: https://www.econbiz.de/10015619227

Estimation and inference for the persistence of extremely high temperatures

Cai, Juan Juan; Lin, Yicong; Schaumburg, Julia; Wang, … - 2026

Persistent link: https://www.econbiz.de/10015567815

Using the extremal index for value-at-risk backtesting

Bücher, Axel; Posch, Peter N.; Schmidtke, Philipp - Sonderforschungsbereich Statistical Modelling of … - 2018

Persistent link: https://www.econbiz.de/10011921089

Analyzing the Gaver-Lewis pareto process under an extremal perspective

Ferreira, Marta; Ferreira, Helena - In: Risks : open access journal 5 (2017) 3, pp. 1-12

Pareto processes are suitable to model stationary heavy-tailed data. Here, we consider the auto-regressive Gaver–Lewis Pareto Process and address a study of the tail behavior. We characterize its local and long-range dependence. We will see that consecutive observations are asymptotically tail...

Persistent link: https://www.econbiz.de/10011687902

Analyzing the Gaver-Lewis pareto process under an extremal perspective

Ferreira, Marta; Ferreira, Helena - In: Risks 5 (2017) 3, pp. 1-12

Pareto processes are suitable to model stationary heavy-tailed data. Here, we consider the auto-regressive Gaver-Lewis Pareto Process and address a study of the tail behavior. We characterize its local and long-range dependence. We will see that consecutive observations are asymptotically tail...

Persistent link: https://www.econbiz.de/10011996656

Using the extremal index for value-at-risk backtesting

Bücher, Axel; Posch, Peter N.; Schmidtke, Philipp - In: Journal of financial econometrics 18 (2020) 3, pp. 556-584

Persistent link: https://www.econbiz.de/10012316700

A new family of consistent and asymptotically-normal estimators for the extremal index

Olmo, Jose - In: Econometrics : open access journal 3 (2015) 3, pp. 633-653

The extremal index (O) is the key parameter for extending extreme value theory results from i.i.d. to stationary …. This article introduces a novel interpretation of the extremal index as a limiting probability characterized by two Poisson …

Persistent link: https://www.econbiz.de/10011410643

A new family of consistent and asymptotically-normal estimators for the extremal index

Olmo, Jose - In: Econometrics 3 (2015) 3, pp. 633-653

Persistent link: https://www.econbiz.de/10011755297

Impact of Returns Time Dependency on the Estimation of Extreme Market Risk

Snoussi, Wafa; El-aroui, Mhamed ali - In: Economics Bulletin 31 (2011) 4, pp. 3294-3303

assessment. The main methods which take into account returns dependency to assess market risk are: Declustering, Extremal index …

Persistent link: https://www.econbiz.de/10009368585

Comparing value-at-risk semi-parametric estimators from serial dependent financial data

snoussi, wafa amor; El-Aroui, Mhamed-Ali - In: Economics Bulletin 30 (2010) 1, pp. 11-11

assessment. The main methods which take into account returns dependency to assess market risk are: Declustering, Extremal index … data show that Declustering and extremal index methods have generally the best performances. Extreme financial risk has an …

Persistent link: https://www.econbiz.de/10011208224