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Inference for clusters of extreme values
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Cited by:
- Cai, J., 2012. "Estimation concerning risk under extreme value conditions," Other publications TiSEM a92b089f-bc4c-41c2-b297-c, Tilburg University, School of Economics and Management.
- J. Sebastião & A. Martins & H. Ferreira & L. Pereira, 2013. "Estimating the upcrossings index," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 22(4), pages 549-579, November.
- Pushpa Dissanayake & Teresa Flock & Johanna Meier & Philipp Sibbertsen, 2021.
"Modelling Short- and Long-Term Dependencies of Clustered High-Threshold Exceedances in Significant Wave Heights,"
Mathematics, MDPI, vol. 9(21), pages 1-33, November.
- Dissanayake, Pushpa & Flock, Teresa & Meier, Johanna & Sibbertsen, Philipp, 2021. "Modelling Short- and Long-Term Dependencies of Clustered High-Threshold Exceedances in Significant Wave Heights," Hannover Economic Papers (HEP) dp-690, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- A. P. Martins & J. R. Sebastião, 2019. "Methods for estimating the upcrossings index: improvements and comparison," Statistical Papers, Springer, vol. 60(4), pages 1317-1347, August.
- James, Robert & Leung, Henry & Leung, Jessica Wai Yin & Prokhorov, Artem, 2023. "Forecasting tail risk measures for financial time series: An extreme value approach with covariates," Journal of Empirical Finance, Elsevier, vol. 71(C), pages 29-50.
- Vera Melinda Gálfi & Tamás Bódai & Valerio Lucarini, 2017. "Convergence of Extreme Value Statistics in a Two-Layer Quasi-Geostrophic Atmospheric Model," Complexity, Hindawi, vol. 2017, pages 1-20, September.
- Zhao, Xin & Scarrott, Carl John & Oxley, Les & Reale, Marco, 2011. "GARCH dependence in extreme value models with Bayesian inference," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(7), pages 1430-1440.
- Fries, Sébastien, 2018. "Conditional moments of noncausal alpha-stable processes and the prediction of bubble crash odds," MPRA Paper 97353, University Library of Munich, Germany, revised Nov 2019.
- Natalia Markovich, 2024. "Extremal properties of evolving networks: local dependence and heavy tails," Annals of Operations Research, Springer, vol. 339(3), pages 1839-1870, August.
- 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.
- Marta Ferreira, 2024. "Extremal index: estimation and resampling," Computational Statistics, Springer, vol. 39(5), pages 2703-2720, July.
- Jose Olmo, 2015. "A New Family of Consistent and Asymptotically-Normal Estimators for the Extremal Index," Econometrics, MDPI, vol. 3(3), pages 1-21, August.
- Caston Sigauke & Rosinah Mukhodobwane & Wilbert Chagwiza & Winston Garira, 2022. "Asymptotic Dependence Modelling of the BRICS Stock Markets," IJFS, MDPI, vol. 10(3), pages 1-32, July.
- Bee, Marco & Dupuis, Debbie J. & Trapin, Luca, 2016. "Realizing the extremes: Estimation of tail-risk measures from a high-frequency perspective," Journal of Empirical Finance, Elsevier, vol. 36(C), pages 86-99.
- Beirlant, J. & Schoutens, W. & Segers, J.J.J., 2004. "Mandelbrot's Extremism," Other publications TiSEM 34027632-2f60-44af-a2ed-e, Tilburg University, School of Economics and Management.
- Amir AghaKouchak & Nasrin Nasrollahi, 2010. "Semi-parametric and Parametric Inference of Extreme Value Models for Rainfall Data," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 24(6), pages 1229-1249, April.
- Marco Moscadelli, 2004. "The modelling of operational risk: experience with the analysis of the data collected by the Basel Committee," Temi di discussione (Economic working papers) 517, Bank of Italy, Economic Research and International Relations Area.
- Candia, Claudio & Herrera, Rodrigo, 2024. "An empirical review of dynamic extreme value models for forecasting value at risk, expected shortfall and expectile," Journal of Empirical Finance, Elsevier, vol. 77(C).
- F. Laurini & J. A. Tawn, 2006. "The extremal index for GARCH(1,1) processes with t-distributed innovations," Economics Department Working Papers 2006-SE01, Department of Economics, Parma University (Italy).
- Fries, Sébastien & Zakoian, Jean-Michel, 2019.
"Mixed Causal-Noncausal Ar Processes And The Modelling Of Explosive Bubbles,"
Econometric Theory, Cambridge University Press, vol. 35(6), pages 1234-1270, December.
- Fries, Sébastien & Zakoian, Jean-Michel, 2017. "Mixed Causal-Noncausal AR Processes and the Modelling of Explosive Bubbles," MPRA Paper 81345, University Library of Munich, Germany.
- Juan Ignacio Pe~na & Rosa Rodriguez & Silvia Mayoral, 2022. "Tail Risk of Electricity Futures," Papers 2202.01732, arXiv.org.
- Natalia Markovich & Marijus Vaičiulis, 2023. "Extreme Value Statistics for Evolving Random Networks," Mathematics, MDPI, vol. 11(9), pages 1-35, May.
- Tian, Shuairu & Hamori, Shigeyuki, 2015. "Modeling interest rate volatility: A Realized GARCH approach," Journal of Banking & Finance, Elsevier, vol. 61(C), pages 158-171.
- Sigauke, Caston & Bere, Alphonce, 2017. "Modelling non-stationary time series using a peaks over threshold distribution with time varying covariates and threshold: An application to peak electricity demand," Energy, Elsevier, vol. 119(C), pages 152-166.
- Hees, Katharina & Nayak, Smarak & Straka, Peter, 2021. "Statistical inference for inter-arrival times of extreme events in bursty time series," Computational Statistics & Data Analysis, Elsevier, vol. 155(C).
- Anna Kiriliouk & Chen Zhou, 2024. "Tail Risk Analysis for Financial Time Series," Papers 2409.18643, arXiv.org.
- Xiaoting Li & Christian Genest & Jonathan Jalbert, 2021. "A self‐exciting marked point process model for drought analysis," Environmetrics, John Wiley & Sons, Ltd., vol. 32(8), December.
- Bücher, Axel & Jennessen, Tobias, 2022. "Statistical analysis for stationary time series at extreme levels: New estimators for the limiting cluster size distribution," Stochastic Processes and their Applications, Elsevier, vol. 149(C), pages 75-106.
- Segers, J.J.J., 2006. "Rare Events, Temporal Dependence and the Extremal Index," Discussion Paper 2006-7, Tilburg University, Center for Economic Research.
- Ross Towe & Jonathan Tawn & Emma Eastoe & Rob Lamb, 2020. "Modelling the Clustering of Extreme Events for Short-Term Risk Assessment," Journal of Agricultural, Biological and Environmental Statistics, Springer;The International Biometric Society;American Statistical Association, vol. 25(1), pages 32-53, March.
- Sara Ali Alokley & Mansour Saleh Albarrak, 2020. "Clustering of Extremes in Financial Returns: A Study of Developed and Emerging Markets," JRFM, MDPI, vol. 13(7), pages 1-11, July.
- Tadele Akeba Diriba & Legesse Kassa Debusho, 2020. "Modelling dependency effect to extreme value distributions with application to extreme wind speed at Port Elizabeth, South Africa: a frequentist and Bayesian approaches," Computational Statistics, Springer, vol. 35(3), pages 1449-1479, September.
- Marco Bee & Debbie J. Dupuis & Luca Trapin, 2016. "US stock returns: are there seasons of excesses?," Quantitative Finance, Taylor & Francis Journals, vol. 16(9), pages 1453-1464, September.
- Joerg Osterrieder & Julian Lorenz, 2017. "A Statistical Risk Assessment Of Bitcoin And Its Extreme Tail Behavior," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 12(01), pages 1-19, March.
- Xin Zhao & Carl John Scarrott & Marco Reale & Les Oxley, 2009. "Bayesian Extreme Value Mixture Modelling for Estimating VaR," Working Papers in Economics 09/15, University of Canterbury, Department of Economics and Finance.
- Omey, Edward & Mallor, Fermin & Nualart, Eulalia, 2009. "An introduction to statistical modelling of extreme values. Application to calculate extreme wind speeds," Working Papers 2009/36, Hogeschool-Universiteit Brussel, Faculteit Economie en Management.
- Segers, J.J.J., 2006. "Rare Events, Temporal Dependence and the Extremal Index," Other publications TiSEM 04952d0f-2b24-44ad-bf07-f, Tilburg University, School of Economics and Management.
- Alexandre Mornet & Thomas Opitz & Michel Luzi & Stéphane Loisel, 2016. "Wind Storm Risk Management," Working Papers hal-01299692, HAL.
- Paola Bortot & Carlo Gaetan, 2016. "Latent Process Modelling of Threshold Exceedances in Hourly Rainfall Series," Journal of Agricultural, Biological and Environmental Statistics, Springer;The International Biometric Society;American Statistical Association, vol. 21(3), pages 531-547, September.
- Beirlant, J. & Schoutens, W. & Segers, J.J.J., 2004. "Mandelbrot's Extremism," Discussion Paper 2004-125, Tilburg University, Center for Economic Research.
- John G. Galbraith & Serguei Zernov, 2006. "Extreme Dependence In The Nasdaq And S&P Composite Indexes," Departmental Working Papers 2006-14, McGill University, Department of Economics.
- Gloria Buriticá & Philippe Naveau, 2023. "Stable sums to infer high return levels of multivariate rainfall time series," Environmetrics, John Wiley & Sons, Ltd., vol. 34(4), June.
- Marco Bee & Luca Trapin, 2018. "Estimating and Forecasting Conditional Risk Measures with Extreme Value Theory: A Review," Risks, MDPI, vol. 6(2), pages 1-16, April.
- John Galbraith & Serguei Zernov, 2009. "Extreme dependence in the NASDAQ and S&P 500 composite indexes," Applied Financial Economics, Taylor & Francis Journals, vol. 19(13), pages 1019-1028.