SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Heavy-Tailed Distributions and Rating
16 references·2 citing·32 second hop
Heavy-Tailed Distributions and Rating (2001)Heavy-Tailed Distributions and RatingTail Index Estimation and an Exponential Regression Model (1999)Tail Index Estimation and an …Estimating a tail exponent by modelling departure from a Pareto distribution (1999)Estimating a tail exponent by…Selecting the optimal sample fraction in univariate extreme value estimation (1998)Selecting the optimal sample …Smoothing the Hill Estimator (1997)Smoothing the Hill EstimatorPractical analysis of extreme values (1997)Practical analysis of extreme…Modelling Extremal Events (1997)Modelling Extremal EventsExtreme value statistics and wind storm losses: A case study (1997)Extreme value statistics and …Estimating the Tails of Loss Severity Distributions Using Extreme Value Theory (1997)Estimating the Tails of Loss …The qq-estimator and heavy tails (1996)The qq-estimator and heavy ta…Tail Index Estimation, Pareto Quantile Plots, and Regression Diagnostics (1996)Tail Index Estimation, Pareto…Tail Index Estimation, Pareto Quantile Plots Regression Diagnostics (1996)Tail Index Estimation, Pareto…Practical analysis of extreme values (1996)Practical analysis of extreme…Modelling of extremal events in insurance and finance (1994)Modelling of extremal events …A Moment Estimator for the Index of an Extreme-Value Distribution (1989)A Moment Estimator for the In…Estimating Tails of Probability Distributions (1987)Estimating Tails of Probabili…Laws of Large Numbers for Sums of Extreme Values (1982)Laws of Large Numbers for Sum…Estimating the Conditional Tail Expectation in the Case of Heavy‐Tailed Losses (2010)Estimating the Conditional Ta…The Quantitative Modeling of Operational Risk: Between G-and-H and EVT (2007)The Quantitative Modeling of …Extreme Values, Regular Variation and Point Processes (1987)Conditional value-at-risk for general loss distributions (2002)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Top Incomes in the Long Run of History (2011)Human Behavior and the Principle of Least Effort: An Introduction to Human Ecology. (1949)Human behavior and the principle of least effort: An introduction to human ecology. By George Kingsley Zipf. Pp. xi, 573. Cambridge, Mass.: Addison-Wesley Press, 1949. (1950)Extreme Value Analysis of Environmental Time Series: An Application to Trend Detection in Ground-Level Ozone (1989)A Dynamic Mixture Model for Unsupervised Tail Estimation without Threshold Selection (2002)Rank-1/2: A Simple Way to Improve the OLS Estimation of Tail Exponents (2006)Extreme Value Theory and Statistics of Univariate Extremes: A Review (2014)Models for Exceedances Over High Thresholds (1990)How to make a Hill plot (2000)Statistics of Extremes (2015)On Some Simple Estimates of an Exponent of Regular Variation (1982)Kernel Estimates of the Tail Index of a Distribution (1985)“Asymptotically Unbiased” Estimators of the Tail Index Based on External Estimation of the Second Order Parameter (2002)Diagnostics for Dependence within Time Series Extremes (2003)Statistical Analysis of Extreme Values (2007)Are output growth‐rate distributions fat‐tailed? some evidence from OECD countries (2008)Power-law distributions in binned empirical data (2014)On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective (1989)The Asymptotic Theory of Extreme Order Statistics (1990)Extreme value theory and Value-at-Risk: Relative performance in emerging markets (2004)Value-at-Risk Prediction: A Comparison of Alternative Strategies (2005)Extreme Values in the GI/G/1 Queue (1972)On Asymptotic Normality of Hill's Estimator for the Exponent of Regular Variation (1985)Evaluating predictive performance of value-at-risk models in emerging markets: a reality check (2006)Heavy tail modeling and teletraffic data: special invited paper (1997)A Conditional Approach for Multivariate Extreme Values (with Discussion) (2004)Extreme Value Theory as a Risk Management Tool (1999)Empirical properties of asset returns: stylized facts and statistical issues (2001)Extreme Correlation of International Equity Markets (2001)
this work references cited by second hop

References

  • 1997Modelling Extremal Events4,397 cited
  • 1994Modelling of extremal events in insurance and finance3,519 cited
  • 1989A Moment Estimator for the Index of an Extreme-Value Distribution697 cited
  • 1987Estimating Tails of Probability Distributions627 cited
  • 1997Estimating the Tails of Loss Severity Distributions Using Extreme Value Theory543 cited
  • 1982Laws of Large Numbers for Sums of Extreme Values278 cited
  • 1999Tail Index Estimation and an Exponential Regression Model275 cited
  • 1998Selecting the optimal sample fraction in univariate extreme value estimation256 cited
  • 1999Estimating a tail exponent by modelling departure from a Pareto distribution229 cited
  • 1996Tail Index Estimation, Pareto Quantile Plots Regression Diagnostics223 cited
  • 1996Practical analysis of extreme values214 cited
  • 1996The qq-estimator and heavy tails203 cited
  • 1997Practical analysis of extreme values178 cited
  • 1997Smoothing the Hill Estimator172 cited
  • 1997Extreme value statistics and wind storm losses: A case study136 cited
  • 1996Tail Index Estimation, Pareto Quantile Plots, and Regression Diagnostics

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

127 cited

Cited by

  • 2007The Quantitative Modeling of Operational Risk: Between G-and-H and EVT71 cited
  • 2010Estimating the Conditional Tail Expectation in the Case of Heavy‐Tailed Losses57 cited