The Convergence Rate of High-Dimensional Sample Quantiles for φ -Mixing Observation Sequences
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Jondeau, Eric & Rockinger, Michael, 2003.
"Testing for differences in the tails of stock-market returns,"
Journal of Empirical Finance, Elsevier, vol. 10(5), pages 559-581, December.
- Michael Rockinger & Eric Jondeau, 2001. "Testing for differences in the tails of stock-market returns," Working Papers hal-00601480, HAL.
- ROCKINGER, Michael & JONDEAU, Eric, 2001. "Testing for differences in the tails of stock-market returns," HEC Research Papers Series 739, HEC Paris.
- Ibragimov, Rustam & Prokhorov, Artem, 2016. "Heavy tails and copulas: Limits of diversification revisited," Economics Letters, Elsevier, vol. 149(C), pages 102-107.
- Mengmei Xi & Xuejun Wang, 2019. "On the rates of asymptotic normality for recursive kernel density estimators under ϕ-mixing assumptions," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 31(2), pages 340-363, April.
- Alexander J. McNeil & Rüdiger Frey & Paul Embrechts, 2015. "Quantitative Risk Management: Concepts, Techniques and Tools Revised edition," Economics Books, Princeton University Press, edition 2, number 10496.
- Xuejun Wang & Shijie Wang & Rui Wang, 2017. "Exponential inequalities for sums of unbounded ϕ-mixing sequence and their applications," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 46(1), pages 457-464, January.
- Sim, Nicholas, 2016. "Modeling the dependence structures of financial assets through the Copula Quantile-on-Quantile approach," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 31-45.
- Tomohiro Ando & Jushan Bai, 2020.
"Quantile Co-Movement in Financial Markets: A Panel Quantile Model With Unobserved Heterogeneity,"
Journal of the American Statistical Association, Taylor & Francis Journals, vol. 115(529), pages 266-279, January.
- Ando, Tomohiro & Bai, Jushan, 2018. "Quantile co-movement in financial markets: A panel quantile model with unobserved heterogeneity," MPRA Paper 88765, University Library of Munich, Germany.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Hans Rau-Bredow, 2019. "Bigger Is Not Always Safer: A Critical Analysis of the Subadditivity Assumption for Coherent Risk Measures," Risks, MDPI, vol. 7(3), pages 1-18, August.
- Di Lascio, F. Marta L. & Giammusso, Davide & Puccetti, Giovanni, 2018. "A clustering approach and a rule of thumb for risk aggregation," Journal of Banking & Finance, Elsevier, vol. 96(C), pages 236-248.
- Sofiane Aboura, 2014. "When the U.S. Stock Market Becomes Extreme?," Risks, MDPI, vol. 2(2), pages 1-15, May.
- Abduraimova, Kumushoy, 2022. "Contagion and tail risk in complex financial networks," Journal of Banking & Finance, Elsevier, vol. 143(C).
- Masahiko Egami & Rusudan Kevkhishvili, 2020. "Time reversal and last passage time of diffusions with applications to credit risk management," Finance and Stochastics, Springer, vol. 24(3), pages 795-825, July.
- Avanzi, Benjamin & Taylor, Greg & Wong, Bernard & Yang, Xinda, 2021. "On the modelling of multivariate counts with Cox processes and dependent shot noise intensities," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 9-24.
- Pfeifer Dietmar & Mändle Andreas & Ragulina Olena, 2017. "New copulas based on general partitions-of-unity and their applications to risk management (part II)," Dependence Modeling, De Gruyter, vol. 5(1), pages 246-255, October.
- Geluk, J.L. & De Vries, C.G., 2006.
"Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities,"
Insurance: Mathematics and Economics, Elsevier, vol. 38(1), pages 39-56, February.
- J.L. Geluk & C.G. de Vries, 2004. "Weighted Sums of Subexponential Random Variables and Asymptotic Dependence between Returns on Reinsurance Equities," Tinbergen Institute Discussion Papers 04-102/2, Tinbergen Institute.
- Geluk, J.L. & de Vries, C.G., 2004. "Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities," Econometric Institute Research Papers EI 2004-47, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Diba Daraei & Kristina Sendova, 2024. "Determining Safe Withdrawal Rates for Post-Retirement via a Ruin-Theory Approach," Risks, MDPI, vol. 12(4), pages 1-21, April.
- Makam, Vaishno Devi & Millossovich, Pietro & Tsanakas, Andreas, 2021. "Sensitivity analysis with χ2-divergences," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 372-383.
- Marco Rocco, 2011. "Extreme value theory for finance: a survey," Questioni di Economia e Finanza (Occasional Papers) 99, Bank of Italy, Economic Research and International Relations Area.
- Chen, Zhimin & Ibragimov, Rustam, 2019. "One country, two systems? The heavy-tailedness of Chinese A- and H- share markets," Emerging Markets Review, Elsevier, vol. 38(C), pages 115-141.
- Nevrla, Matěj, 2020. "Systemic risk in European financial and energy sectors: Dynamic factor copula approach," Economic Systems, Elsevier, vol. 44(4).
- H. Kaibuchi & Y. Kawasaki & G. Stupfler, 2022.
"GARCH-UGH: a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series,"
Quantitative Finance, Taylor & Francis Journals, vol. 22(7), pages 1277-1294, July.
- Hibiki Kaibuchi & Yoshinori Kawasaki & Gilles Stupfler, 2021. "GARCH-UGH: A bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series," Papers 2104.09879, arXiv.org.
- Battulga Gankhuu, 2022. "Merton's Default Risk Model for Private Company," Papers 2208.01974, arXiv.org.
- Ansari Jonathan & Rockel Marcus, 2024. "Dependence properties of bivariate copula families," Dependence Modeling, De Gruyter, vol. 12(1), pages 1-36.
- Stephan Schlüter & Fabian Menz & Milena Kojić & Petar Mitić & Aida Hanić, 2022. "A Novel Approach to Generate Hourly Photovoltaic Power Scenarios," Sustainability, MDPI, vol. 14(8), pages 1-16, April.
- Borowska, Agnieszka & Hoogerheide, Lennart & Koopman, Siem Jan & van Dijk, Herman K., 2020.
"Partially censored posterior for robust and efficient risk evaluation,"
Journal of Econometrics, Elsevier, vol. 217(2), pages 335-355.
- Agnieszka Borowska & Lennart Hoogerheide & Siem Jan Koopman & Herman K. van Dijk, 2019. "Partially Censored Posterior for robust and efficient risk evaluation," Working Paper 2019/12, Norges Bank.
- Agnieszka Borowska & Lennart Hoogerheide & Siem Jan Koopman & Herman van Dijk, 2019. "Partially Censored Posterior for Robust and Efficient Risk Evaluation," Tinbergen Institute Discussion Papers 19-057/III, Tinbergen Institute.
- Dietmar Pfeifer & Olena Ragulina, 2018. "Generating VaR Scenarios under Solvency II with Product Beta Distributions," Risks, MDPI, vol. 6(4), pages 1-15, October.
- E. Ramos-P'erez & P. J. Alonso-Gonz'alez & J. J. N'u~nez-Vel'azquez, 2020. "Forecasting volatility with a stacked model based on a hybridized Artificial Neural Network," Papers 2006.16383, arXiv.org, revised Aug 2020.
More about this item
Keywords
convergence rate; sample quantiles; φ-mixing dependent sequence;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:gam:jmathe:v:9:y:2021:i:6:p:647-:d:519412. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: MDPI Indexing Manager (email available below). General contact details of provider: https://www.mdpi.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.