Estimators of the extreme-value index are based on a set of upper order statistics. We present an adaptivemethod to choose the number of order statistics involved in an optimal way, balancing variance and biascomponents. Recently this has been achieved for the similar but somewhat less involved...

A number of volatility forecasting studies have led to the perception that the ARCH- and Stochastic Volatility-type models provide poor out-of-sample forecasts of volatility. This is primarily based on the use of traditional forecast evaluation criteria concerning the accuracy and the...

Johnson (1992) developed the process loss index Le, which is defined as the ratio of the expected quadratic loss to the square of half specification width. Tsui (1997) expressed the index LeasLe=Lpe+Lot, which provides an uncontaminated separation between information concerning the potential...