Estimating return levels from serially dependent extremes

By Lee Fawcett, D. Walshaw. 2012

65 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/dabac878269250d323bfb3c2db904ca441d2fcf0

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. V. Chavez‐Demoulin
2. A. C. Davison
3. Paul Northrop
4. Raphaël Huser
5. Emeric Thibaud
6. Thomas Opitz

In Finance

1. Paul Northrop
2. A. C. Davison
3. V. Chavez‐Demoulin
4. Raphaël Huser
5. Thomas Opitz
6. Laurent Gardes
7. Emeric Thibaud
8. Marc G. Genton

Citations in the corpus

• An efficient semiparametric maxima estimator of the extremal index (2015, methodology): “Following Gomes (1993), Fawcett and Walshaw (2012) used the larger block size √ m≈ 54, obtaining an estimate of 0.”
• Modelling Time Series Extremes (2012, background): “Its application requires reliable identification of cluster maxima, however, and Fawcett & Walshaw (2007, 2012) establish that the difficulty of this can lead to severe bias.”