Bayesian estimation of stochastic tail index from high-frequency financial data
Sign Up to like & getrecommendations! Published in 2020 at "Empirical Economics"
DOI: 10.1007/s00181-020-01969-2
Abstract: Tails of the return distribution of an asset are informative about the (financial) risk behavior of that asset. Stochastic tail index (STI) models are designed to quantify riskiness by estimating a time-varying tail index from… read more here.
Keywords: high frequency; estimation; tail index; tail ... See more keywords
Extreme quantiles and tail index of a distribution based on kernel estimator
Sign Up to like & getrecommendations! Published in 2019 at "Journal of the Korean Statistical Society"
DOI: 10.1016/j.jkss.2018.09.002
Abstract: Abstract In this paper, we reveal the relationship between the tail exponent introduced by Parzen (1979) and tail index for a distribution function. Furthermore, we analyze the domain of attraction of the weighted sum of… read more here.
Keywords: extreme quantiles; tail index; distribution; index distribution ... See more keywords
Sequential monitoring of the tail behavior of dependent data
Sign Up to like & getrecommendations! Published in 2017 at "Journal of Statistical Planning and Inference"
DOI: 10.1016/j.jspi.2016.08.010
Abstract: Abstract We construct a sequential monitoring procedure for changes in the tail index and extreme quantiles of β -mixing random variables, which can be based on a large class of tail index estimators. The assumptions… read more here.
Keywords: monitoring tail; tail index; sequential monitoring; tail behavior ... See more keywords
Inference for the tail index of a GARCH(1,1) model and an AR(1) model with ARCH(1) errors
Sign Up to like & getrecommendations! Published in 2019 at "Econometric Reviews"
DOI: 10.1080/07474938.2016.1224024
Abstract: ABSTRACT For a GARCH(1,1) sequence or an AR(1) model with ARCH(1) errors, one can estimate the tail index by solving an estimating equation with unknown parameters replaced by the quasi maximum likelihood estimation, and a… read more here.
Keywords: arch errors; tail index; model arch; model ... See more keywords
On posterior consistency of tail index for Bayesian kernel mixture models
Sign Up to like & getrecommendations! Published in 2019 at "Bernoulli"
DOI: 10.3150/18-bej1043
Abstract: Asymptotic theory of tail index estimation has been studied extensively in the frequentist literature on extreme values, but rarely in the Bayesian context. We investigate whether popular Bayesian kernel mixture models are able to support… read more here.
Keywords: tail index; mixture models; index; bayesian kernel ... See more keywords