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Estimation of the conditional tail index using a smoothed local Hill estimator

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References

1990Models for Exceedances Over High Thresholds1,725 cited
2006Extreme Value Theory : An Introduction1,564 cited
2006Extreme value theory : an introduction1,256 cited
2004Statistics of Extremes1,204 cited
2004Statistics of Extremes: Theory and Applications1,093 cited
1989Extreme Value Analysis of Environmental Time Series: An Application to Trend Detection in Ground-Level Ozone682 cited
2009Tail Index Regression97 cited
2010Kernel estimators of extreme level curves94 cited
2002On Exponential Representations of Log-Spacings of Extreme Order Statistics91 cited
2010Conditional extremes from heavy-tailed distributions: an application to the estimation of extreme rainfall return levels77 cited
2008A moving window approach for nonparametric estimation of the conditional tail index54 cited

Cited by

2018Extreme M-quantiles as risk measures: From $L^{1}$ to $L^{p}$ optimization42 cited
2015Estimating the conditional extreme-value index under random right-censoring41 cited
2021Extreme conditional expectile estimation in heavy-tailed heteroscedastic regression models41 cited

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