Extreme Value Estimation for Heterogeneous Data | PERPUSTAKAAN UNIVERSITAS KATOLIK PARAHYANGAN

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Extreme Value Estimation for Heterogeneous Data

Einmahl, John H. J. - Nama Orang; He, Yi - Nama Orang;

We develop a universal econometric formulation of empirical power laws possibly driven by parameter heterogeneity. Our approach extends classical extreme value theory to specifying the tail behavior of the empirical distribution of a general dataset with possibly heterogeneous marginal distributions. We discuss several model examples that satisfy our conditions and demonstrate in simulations how heterogeneity may generate empirical power laws. We observe a cross-sectional power law for the U.S. stock losses and show that this tail behavior is largely driven by the heterogeneous volatilities of the individual assets.

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Barcode		Tipe Koleksi	Nomor Panggil	Lokasi	Status
art144617	null	Artikel		Gdg9-Lt3	Tersedia namun tidak untuk dipinjamkan - No Loan

Informasi Detail

Judul Seri: JOURNAL OF BUSINESS AND ECONOMIC STATISTICS; Vol.41 No.1 January 2023
No. Panggil: -
Penerbit: : .,
Deskripsi Fisik: p. 255-269
Bahasa: English
ISBN/ISSN: -
Klasifikasi: NONE
Tipe Isi: -
Tipe Media: -
Tipe Pembawa: -
Edisi: -
Subjek: EXTREME VALUE THEORY
POWER LAW
SCALES
HETEROGENEOUS DATA
FINANCIAL RETURNS
Info Detail Spesifik: https://doi.org/10.1080/07350015.2021.2008408
Pernyataan Tanggungjawab: John H. J. Einmahl, Yi He

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