Risk Analysis via Generalized Pareto Distributions-Reference-Cited by-同舟云学术

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Risk Analysis via Generalized Pareto Distributions

Published:2021-03-03 Issue: Volume: Page:1-16
ISSN:0735-0015
Container-title:Journal of Business & Economic Statistics
language:en
Short-container-title:Journal of Business & Economic Statistics

Author:

He Yi¹^ORCID,Peng Liang²,Zhang Dabao³,Zhao Zifeng⁴^ORCID

Affiliation:

1. Amsterdam School of Economics, University of Amsterdam, Amsterdam, The Netherlands

2. Department of Risk Management and Insurance, Georgia State University, Atlanta, GA

3. Department of Statistics, Purdue University, West Lafayette, IN

4. Mendoza College of Business, University of Notre Dame, Notre Dame, IN

Funder

National Science Foundation

Simons Foundation and the NSF

National Cancer Institute

National Institute of General Medical Sciences of the National Institutes of Health

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Social Sciences (miscellaneous),Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/07350015.2021.1874390

Reference46 articles.

1. Does Systemic Risk in the Financial Sector Predict Future Economic Downturns?

2. Residual Life Time at Great Age

3. On the Size Distribution of Macroeconomic Disasters

4. Generalized autoregressive conditional heteroskedasticity

5. Estimation of Jump Tails

Cited by 4 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Anomalous Radiative Transfer in Heterogeneous Media;Advanced Theory and Simulations;2024-07-13

2. Tail risk forecasting and its application to margin requirements in the commodity futures market;Journal of Forecasting;2024-02-20

3. On Statistical Inference of Generalized Pareto Distribution with Jointly Progressive Censored Samples with Binomial Removal;Mathematical Problems in Engineering;2023-04-21

4. Generating Optimal Discrete Analogue of the Generalized Pareto Distribution under Bayesian Inference with Applications;Symmetry;2022-07-16

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