Why you should also use OLS estimation of tail exponents

NIAID Data Ecosystem2026-05-02 收录

极值理论

尾指数估计

数据链接：

https://zenodo.org/record/14525573 数据链接链接失效反馈

官方服务：

资源简介：

Dataset and code related to the paper "Why you should also use OLS estimation of tail exponents".

创建时间：

2024-12-19

Extreme Quantile Estimation for Autoregressive Models

时间序列分析

极值理论

A quantile autoregresive model is a useful extension of classical autoregresive models as it can capture the influences of conditioning variables on the location, scale, and shape of the response dist

DataCite Commons2025-05-01 更新130

Exploiting structure of maximum likelihood estimators for extreme value threshold selection

极值理论

统计建模

In order to model the tail of a distribution, one has to define the threshold above or below which an extreme value model produces a suitable fit. Parameter stability plots, whereby one plots maximum

DataCite Commons2020-09-04 更新70

Conditional Extremes in Asymmetric Financial Markets

系统性风险

极值理论

The global financial crisis of 2007–2009 revealed the great extent to which systemic risk can jeopardize the stability of the entire financial system. An effective methodology to quantify systemic ris

DataCite Commons2021-09-29 更新50

Conditional Extremes in Asymmetric Financial Markets

金融风险管理

极值理论

DataCite Commons2021-09-29 更新100

Percentile Values of Hill tail index and Hill index of the left and right tail across all Monte Carlo simulations.

极值理论

尾部风险建模

Percentile Values of Hill tail index and Hill index of the left and right tail across all Monte Carlo simulations.

NIAID Data Ecosystem50