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Statistics of Heteroscedastic Extremes

Author

Listed:
  • Einmahl, J.H.J.

    (Tilburg University, School of Economics and Management)

  • de Haan, L.F.M.
  • Zhou, C.

Abstract

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Suggested Citation

  • Einmahl, J.H.J. & de Haan, L.F.M. & Zhou, C., 2014. "Statistics of Heteroscedastic Extremes," Other publications TiSEM 19952ae4-25ff-4e1b-8627-d, Tilburg University, School of Economics and Management.
    • Handle: RePEc:tiu:tiutis:19952ae4-25ff-4e1b-8627-d21d7a62375b
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    File URL: https://repository.tilburguniversity.edu/bitstreams/0a093188-2fbd-4bf1-b9b5-b5cb707b0550/download
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    References listed on IDEAS

    as
    1. Einmahl, J.H.J. & Gantner, M. & Sawitzki, G., 2008. "The Shorth Plot," Other publications TiSEM 10b5cfb5-c502-46dc-8e51-5, Tilburg University, School of Economics and Management.
    2. Phillip Kearns & Adrian Pagan, 1997. "Estimating The Density Tail Index For Financial Time Series," The Review of Economics and Statistics, MIT Press, vol. 79(2), pages 171-175, May.
    3. Jansen, Dennis W & de Vries, Casper G, 1991. "On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective," The Review of Economics and Statistics, MIT Press, vol. 73(1), pages 18-24, February.
    4. Einmahl, J.H.J. & Gantner, M. & Sawitzki, G., 2008. "The Shorth Plot," Other publications TiSEM 10b5cfb5-c502-46dc-8e51-5, Tilburg University, School of Economics and Management.
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    Cited by:

    1. Robert, Christian Y., 2022. "Testing for changes in the tail behavior of Brown–Resnick Pareto processes," Stochastic Processes and their Applications, Elsevier, vol. 144(C), pages 312-368.

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