Showing 1 - 10 of 98
By assuming that the underlying distribution belongs to the domain of attraction of an extreme value distribution, one can extrapolate the data to a far tail region so that a rare event can be predicted. However, when the distribution is in the domain of attraction of a Gumbel distribution, the...
Persistent link: https://www.econbiz.de/10014038337
Persistent link: https://www.econbiz.de/10009783265
We use extreme value theory (EVT) to develop insights about price theory. Our analysis reveals "detail-independent" equilibrium properties that characterize a large family of models. We derive a formula relating equilibrium prices to the level of competition. When the number of firms is large,...
Persistent link: https://www.econbiz.de/10010817439
Consider n i.i.d. random vectors on R2, with unknown, common distribution function F. Under a sharpening of the extreme value condition on F, we derive a weighted approximation of the corresponding tail copula process. Then we construct a test to check whether the extreme value condition holds...
Persistent link: https://www.econbiz.de/10014069048
Persistent link: https://www.econbiz.de/10002240253
Motivated by prediction problems for time series with heavy-tailed marginal distributions, we consider methods based on `local least absolute deviations' for estimating a regression median from dependent data. Unlike more conventional `local median' methods, which are in effect based on locally...
Persistent link: https://www.econbiz.de/10009439518
We consider local least absolute deviation (LLAD) estimation for trend functions of time series with heavy tails which are characterised via a symmetric stable law distribution. The setting includes both causal stable ARMA model and fractional stable ARIMA model as special cases. The asymptotic...
Persistent link: https://www.econbiz.de/10009440424
Since its introduction by Owen in [29, 30], the empirical likelihood method has been extensively investigated and widely used to construct confidence regions and to test hypotheses in the literature. For a large class of statistics that can be obtained via solving estimating equations, the...
Persistent link: https://www.econbiz.de/10015228738
For an AR(1) process with ARCH(1) errors, we propose empirical likelihood tests for testing whether the sequence is strictly stationary but has infinte variance, or the sequence is an ARCH(1) sequence or the sequence is an iid sequence. Moreover, an empirical likelihood based confidence interval...
Persistent link: https://www.econbiz.de/10010266155
In general, risk of an extreme outcome in financial markets can be expressed as a function of the tail copula of a high-dimensional vector after standardizing marginals. Hence it is of importance to model and estimate tail copulas. Even for moderate dimension, nonparametrically estimating a tail...
Persistent link: https://www.econbiz.de/10010266194