Zobrazeno 1 - 10
of 115
pro vyhledávání: '"Padoan, Simone"'
The Peaks Over Threshold (POT) method is the most popular statistical method for the analysis of univariate extremes. Even though there is a rich applied literature on Bayesian inference for the POT method there is no asymptotic theory for such propo
Externí odkaz:
http://arxiv.org/abs/2310.06720
Marginal expected shortfall is unquestionably one of the most popular systemic risk measures. Studying its extreme behaviour is particularly relevant for risk protection against severe global financial market downturns. In this context, results of st
Externí odkaz:
http://arxiv.org/abs/2304.07578
Autor:
Padoan, Simone A., Rizzelli, Stefano
Publikováno v:
J. Appl. Probab. 61 (2024) 529-539
Extreme Value Theory plays an important role to provide approximation results for the extremes of a sequence of independent random variables when their distribution is unknown. An important one is given by the {generalised Pareto distribution} $H_\ga
Externí odkaz:
http://arxiv.org/abs/2301.02171
The use of expectiles in risk management has recently gathered remarkable momentum due to their excellent axiomatic and probabilistic properties. In particular, the class of elicitable law-invariant coherent risk measures only consists of expectiles.
Externí odkaz:
http://arxiv.org/abs/2210.02056
Autor:
Padoan, Simone A, Rizzelli, Stefano
The block maxima method is one of the most popular approaches for extreme value analysis with independent and identically distributed observations in the domain of attraction of an extreme value distribution. The lack of a rigorous study on the Bayes
Externí odkaz:
http://arxiv.org/abs/2204.04981
This paper investigates pooling strategies for tail index and extreme quantile estimation from heavy-tailed data. To fully exploit the information contained in several samples, we present general weighted pooled Hill estimators of the tail index and
Externí odkaz:
http://arxiv.org/abs/2111.03173
Publikováno v:
In Journal of Econometrics April 2024 241(2)
Autor:
Padoan, Simone A., Stupfler, Gilles
The notion of expectiles, originally introduced in the context of testing for homoscedasticity and conditional symmetry of the error distribution in linear regression, induces a law-invariant, coherent and elicitable risk measure that has received a
Externí odkaz:
http://arxiv.org/abs/2007.08944
Expectiles define the only law-invariant, coherent and elicitable risk measure apart from the expectation. The popularity of expectile-based risk measures is steadily growing and their properties have been studied for independent data, but further re
Externí odkaz:
http://arxiv.org/abs/2004.04078
Estimation of extreme quantile regions, spaces in which future extreme events can occur with a given low probability, even beyond the range of the observed data, is an important task in the analysis of extremes. Existing methods to estimate such regi
Externí odkaz:
http://arxiv.org/abs/1904.08251