Semiparametric Tail Index Regression-Reference-Cited by-同舟云学术

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Semiparametric Tail Index Regression

Published:2020-07-01 Issue:1 Volume:40 Page:82-95
ISSN:0735-0015
Container-title:Journal of Business & Economic Statistics
language:en
Short-container-title:Journal of Business & Economic Statistics

Author:

Li Rui¹,Leng Chenlei²,You Jinhong³

Affiliation:

1. School of Statistics and Information, Shanghai University of International Business and Economics, Shanghai, China

2. Department of Statistics, University of Warwick, Coventry, UK

3. School of Statistics and Mathematics, Shanghai Lixin University of Accounting and Finance, Shanghai, China

Funder

National Social Science Fund of China

Program for the Innovative Research Team of Shanghai University of Finance and Economics

Program for Changjiang Scholars and Innovative Research Team in University

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/10.1080/07350015.2020.1775616

Reference63 articles.

1. Semiparametric lower bounds for tail index estimation

2. Statistics of Extremes

3. On robust tail index estimation

Cited by 6 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. Varying Index Coefficient Model for Tail Index Regression;Mathematics;2024-06-28

2. Unleashing the Potential of Mixed Frequency Data: Measuring Risk with Dynamic Tail Index Regression Model;Computational Economics;2024-05-04

3. Hypothesis testing for varying coefficient models in tail index regression;Statistical Papers;2024-04-02

4. A neuro-structural framework for bankruptcy prediction;Quantitative Finance;2023-07-20

5. Tail index partition-based rules extraction with application to tornado damage insurance;ASTIN Bulletin;2023-02-22

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