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Search: subject:"Tail quantile"
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Estimation theory
4
Schätztheorie
4
Statistical distribution
4
Statistische Verteilung
4
Ausreißer
3
Hill estimator
3
Outliers
3
Tail quantile process
3
Bootstrap approach
2
Bootstrap-Verfahren
2
Full-sample bootstrap
2
Intermediate order statistic
2
Probability theory
2
Tail dependence
2
Wahrscheinlichkeitsrechnung
2
Bias
1
Bias correction
1
Bias-correction
1
Börsenkurs
1
Commodity derivative
1
Copula models
1
Day-ahead electricity prices
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Electric power industry
1
Electricity price
1
Electricity supply
1
Elektrizitätsversorgung
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Elektrizitätswirtschaft
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Energiemarkt
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Energy market
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Estimation
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Extreme value Index
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Extreme value index
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Financial transmission rights
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Forecasting model
1
Insurance risk modelling
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Market coupling
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1
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Litvinova, Svetlana
2
Silvapulle, Mervyn J.
2
Benth, Fred Espen
1
Chen Zhou
1
Dutang, Christophe
1
Goegebeur, Yuri
1
Guillou, Armelle
1
Haan, Laurens de
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Working paper / Department of Econometrics and Business Statistics, Monash University
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ECONIS (ZBW)
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Consistency of full-sample bootstrap for estimating high-quantile, tail probability, and tail index
Litvinova, Svetlana
;
Silvapulle, Mervyn J.
-
2020
Persistent link: https://www.econbiz.de/10012607652
Saved in:
2
Bootstrapping tail statistics:
tail
quantile
process, Hill estimator, and confidence intervals for highquantiles of heavy tailed distributions
Litvinova, Svetlana
;
Silvapulle, Mervyn J.
-
2018
Persistent link: https://www.econbiz.de/10012583470
Saved in:
3
A regime-switching copula approach to modeling day-ahead prices in coupled electricity markets
Pircalabu, Anca
;
Benth, Fred Espen
- In:
Energy economics
68
(
2017
),
pp. 283-302
Persistent link: https://www.econbiz.de/10011905725
Saved in:
4
Adapting extreme value statistics to financial time series : dealing with bias and serial dependence
Haan, Laurens de
;
Mercadier, Cécile
;
Chen Zhou
- In:
Finance and stochastics
20
(
2016
)
2
,
pp. 321-354
Persistent link: https://www.econbiz.de/10011471063
Saved in:
5
Robust and bias-corrected estimation of the coefficient of tail dependence
Dutang, Christophe
;
Goegebeur, Yuri
;
Guillou, Armelle
- In:
Insurance
57
(
2014
),
pp. 46-57
Persistent link: https://www.econbiz.de/10010402739
Saved in:
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