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Asymptotic behavior of hill's estimator for autoregressive data
13 references·9 citing·27 second hop
Asymptotic behavior of hill's estimator for autoregressive data (1997)Asymptotic behavior of hill's estimator f…On asymptotic normality of the hill estimator (1998)On asymptotic normality of th…Comparison of tail index estimators (1998)Comparison of tail index esti…Smoothing the Hill Estimator (1997)Smoothing the Hill EstimatorConsistency of Hill's estimator for dependent data (1995)Consistency of Hill's estimat…Optimal Choice of Sample Fraction in Extreme-Value Estimation (1993)Optimal Choice of Sample Frac…Estimating the limit distribution of multivariate extremes (1993)Estimating the limit distribu…Optimal choice of sample fraction in extreme-value estimation (1991)Optimal choice of sample frac…On Tail Index Estimation Using Dependent Data (1991)On Tail Index Estimation Usin…Extreme Values, Regular Variation and Point Processes (1987)Extreme Values, Regular Varia…On Asymptotic Normality of Hill's Estimator for the Exponent of Regular Variation (1985)On Asymptotic Normality of Hi…Limit Theory for Moving Averages of Random Variables with Regularly Varying Tail Probabilities (1985)Limit Theory for Moving Avera…On Some Simple Estimates of an Exponent of Regular Variation (1982)On Some Simple Estimates of a…Laws of Large Numbers for Sums of Extreme Values (1982)Laws of Large Numbers for Sum…Extreme M-quantiles as risk measures: From $L^{1}$ to $L^{p}$ optimization (2018)Extreme M-quantiles as risk m…Adapting extreme value statistics to financial time series: dealing with bias and serial dependence (2016)Adapting extreme value statis…Weak convergence of the tail empirical process for dependent sequences (2008)Weak convergence of the tail …On the foundations of multivariate heavy-tail analysis (2004)On the foundations of multiva…ESTIMATION OF THE MAXIMAL MOMENT EXPONENT OF A GARCH(1,1) SEQUENCE (2003)ESTIMATION OF THE MAXIMAL MOM…Asymptotic inference in time series regressions with a unit root and infinite variance errors (2003)Asymptotic inference in time …Tail Empirical Processes Under Mixing Conditions (2002)Tail Empirical Processes Unde…Estimating the tail index (1998)Estimating the tail indexSecond-order regular variation, convolution and the central limit theorem (1997)Second-order regular variatio…Kernel Estimates of the Tail Index of a Distribution (1985)Discussion of the Danish Data on Large Fire Insurance Losses (1997)Financial Risk and Heavy Tails (2003)Estimating Tails of Probability Distributions (1987)A Moment Estimator for the Index of an Extreme-Value Distribution (1989)Asymptotically unbiased estimators for the extreme-value index (1998)Alternatives to a Semi-Parametric Estimator of Parameters of Rare Events—The Jackknife Methodology* (2000)Generalizations of the Hill estimator – asymptotic versus finite sample behaviour (2001)Extreme Values in the GI/G/1 Queue (1972)How to make a Hill plot (2000)Evaluating predictive performance of value-at-risk models in emerging markets: a reality check (2006)Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets (1994)Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation (2001)Rank − 1 / 2: A Simple Way to Improve the OLS Estimation of Tail Exponents (2009)Modelling of extremal events in insurance and finance (1994)Extreme Correlation of International Equity Markets (2001)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Tail index estimation for dependent data (1998)Extremal Theory for Stochastic Processes (1988)Heavy tail modeling and teletraffic data: special invited paper (1997)Stable Non-Gaussian Random ProcessesGennady Samorodnitsky and Murad S. Taqqu Chapman and Hall, 1994 (1997)ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA (2010)Long-Term Skewness and Systemic Risk (2011)Tail Risk and Asset Prices (2013)Rank-1/2: A Simple Way to Improve the OLS Estimation of Tail Exponents (2006)The Bootstrap Methodology in Statistics of Extremes—Choice of the Optimal Sample Fraction (2001)On the tails of extreme event distributions in hydrology (2008)
this work references cited by second hop

References

  • 1987Extreme Values, Regular Variation and Point Processes3,165 cited
  • 1982On Some Simple Estimates of an Exponent of Regular Variation564 cited
  • 1985Limit Theory for Moving Averages of Random Variables with Regularly Varying Tail Probabilities301 cited
  • 1982Laws of Large Numbers for Sums of Extreme Values278 cited
  • 1998Comparison of tail index estimators226 cited
  • 1985On Asymptotic Normality of Hill's Estimator for the Exponent of Regular Variation214 cited
  • 1991On Tail Index Estimation Using Dependent Data203 cited
  • 1997Smoothing the Hill Estimator172 cited
  • 1995Consistency of Hill's estimator for dependent data131 cited
  • 1993Optimal Choice of Sample Fraction in Extreme-Value Estimation104 cited
  • 1993Estimating the limit distribution of multivariate extremes92 cited
  • 1991Optimal choice of sample fraction in extreme-value estimation79 cited
  • 1998On asymptotic normality of the hill estimator76 cited

Cited by

  • 1997Second-order regular variation, convolution and the central limit theorem69 cited
  • 1998Estimating the tail index63 cited

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2016
Adapting extreme value statistics to financial time series: dealing with bias and serial dependence
62 cited
  • 2004On the foundations of multivariate heavy-tail analysis59 cited
  • 2008Weak convergence of the tail empirical process for dependent sequences58 cited
  • 2018Extreme M-quantiles as risk measures: From $L^{1}$ to $L^{p}$ optimization42 cited
  • 2002Tail Empirical Processes Under Mixing Conditions40 cited
  • 2003ESTIMATION OF THE MAXIMAL MOMENT EXPONENT OF A GARCH(1,1) SEQUENCE30 cited
  • 2003Asymptotic inference in time series regressions with a unit root and infinite variance errors17 cited