This paper introduces a nonparametric estimator for tail dependence in the constant conditional correlation GARCH framework, in contrast to existing estimators that impose the iid assumption. So long as stationarity is satisfied, the difference between the distribution of the tail dependence...

We consider a class of linear regression model with extreme distribution noise. We show by a mean of point process technique that the asymptotic distribution of the maximum is the same as the one of the max of the noise process, under specific conditions.

Consider n i.i.d. random elements on C[0, 1]. We show that under an appropriate strengthening of the domain of attraction condition, natural estimators of the extreme-value index, which is now a continuous function, and the normalizing functions have a Gaussian process as limiting distribution....

Spot power prices exhibit extreme price jumps and the tendency to oscillate around a long-term mean. Despite these well-known characteristics, electricity price models used for Monte Carlo simulations, VaR related measures, or derivatives valuation, often assume normally distributed residuals....