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Extreme Value Statistics
7 references·1 citing·32 second hop
Extreme Value Statistics (1994)Extreme Value StatisticsOn the maximal life span of humans (1994)On the maximal life span of h…On the estimation of high quantiles (1993)On the estimation of high qua…The tail index of exchange rate returns (1990)The tail index of exchange ra…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…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…Subsampling the distribution of diverging statistics with applications to finance (2003)Subsampling the distribution …Portfolio Selection (1952)The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options on Assets with Stochastic Volatilities (1987)Conditional VAR and Expected Shortfall: A New Functional Approach (2013)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)Residual Life Time at Great Age (1974)Aging, Natural Death, and the Compression of Morbidity (1980)Extreme Values, Regular Variation and Point Processes (1987)On optimising the estimation of high quantiles of a probability distribution (2003)Are We Reaching the Limits of Homo sapiens? (2017)Overview and Open Research Topics in Statistics of Univariate Extremes (2022)Extreme Values in the GI/G/1 Queue (1972)On Asymptotic Normality of Hill's Estimator for the Exponent of Regular Variation (1985)How to make a Hill plot (2000)Evaluating predictive performance of value-at-risk models in emerging markets: a reality check (2006)Conditional logit analysis of qualitative choice behavior (1972)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Collapsing exchange-rate regimes (1984)The stable Paretian hypothesis and the frequency of large returns: an examination of major German stocks (1996)Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management (1998)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)ESTIMATING THE EXTREME VALUE INDEX AND HIGH QUANTILES WITH EXPONENTIAL REGRESSION MODELS (2003)Estimation of the extreme-value index and generalized quantile plots (2005)Estimation of the extreme value index and extreme quantiles under random censoring (2007)Heavy tail modeling and teletraffic data: special invited paper (1997)Tail Index Estimation and an Exponential Regression Model (1999)A Conditional Approach for Multivariate Extreme Values (with Discussion) (2004)
this work references cited by second hop

References

  • 1989A Moment Estimator for the Index of an Extreme-Value Distribution697 cited
  • 1987Estimating Tails of Probability Distributions627 cited
  • 1982On Some Simple Estimates of an Exponent of Regular Variation564 cited
  • 1982Laws of Large Numbers for Sums of Extreme Values278 cited
  • 1990The tail index of exchange rate returns252 cited
  • 1993On the estimation of high quantiles85 cited
  • 1994On the maximal life span of humans77 cited

Cited by

  • 2003Subsampling the distribution of diverging statistics with applications to finance33 cited

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