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Statistics of Heteroscedastic Extremes

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  • Einmahl, J.H.J.
  • Haan, L.F.M. de
  • Zhou, C.

    (Tilburg University, Center for Economic Research)

Abstract

Abstract: We extend classical extreme value theory to non-identically distributed observations. When the distribution tails are proportional much of extreme value statistics remains valid. The proportionality function for the tails can be estimated nonparametrically along with the (common) extreme value index. Joint asymptotic normality of both estimators is shown; they are asymptotically independent. We develop tests for the proportionality function and for the validity of the model. We show through simulations the good performance of tests for tail homoscedasticity. The results are applied to stock market returns. A main tool is the weak convergence of a weighted sequential tail empirical process.

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Bibliographic Info

Paper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 2014-015.

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Date of creation: 2014
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Handle: RePEc:dgr:kubcen:2014015

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Web page: http://center.uvt.nl

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  1. Jansen, Dennis W & de Vries, Casper G, 1991. "On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective," The Review of Economics and Statistics, MIT Press, vol. 73(1), pages 18-24, February.
  2. Einmahl, J.H.J. & Gantner, M. & Sawitzki, G., 2010. "The Shorth Plot," Open Access publications from Tilburg University urn:nbn:nl:ui:12-3368484, Tilburg University.
  3. repec:sae:ecolab:v:16:y:2006:i:2:p:1-2 is not listed on IDEAS
  4. Quintos, Carmela & Fan, Zhenhong & Phillips, Peter C B, 2001. "Structural Change Tests in Tail Behaviour and the Asian Crisis," Review of Economic Studies, Wiley Blackwell, vol. 68(3), pages 633-63, July.
  5. Phillip Kearns & Adrian Pagan, 1997. "Estimating The Density Tail Index For Financial Time Series," The Review of Economics and Statistics, MIT Press, vol. 79(2), pages 171-175, May.
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