Statistics of extremes: challenges and opportunities
Miguel de Carvalho – Pontificia Universidad Católica de Chile

Extreme events in finance

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This chapter provides a personal view on some recent concepts and methods of statistics of extremes, and discusses the challenges and opportunities could lead to potential future developments. Measure-dependent measures are here introduced as a natural probabilistic concept for modeling bivariate extreme values, and predictor-dependent spectral measures are discussed as a natural concept for modeling extremal dependence structures, which vary according to a covariate. Families of tilted measures are introduced as a unifying device connecting some recently proposed approaches. En passant, we discussed a new estimator for the so-called scedasis function.

Extreme events in finance Extreme events in finance

Miguel de Carvalho, Pontificia Universidad Catolica de Chile

Miguel de Carvalho

Pontificia Universidad Católica de Chile