POT-flavored estimator of Pickands dependence function

2022/02/11 by Zou Nan, Zou, Nan
Decision Sciences · Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis #FOS: Computer and information sciences #Financial Risk and Volatility Modeling #Methodology (stat.ME) #Stock Market Forecasting Methods

paper · pdf · doi:10.48550/arxiv.2202.05935

openalex publication_date 2022/02/11 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

This work proposes an estimator with both Peak-Over-Threshold and Block-Maxima flavors, uses it to estimate the Pickands dependence function of bivariate time series, and illustrates how it brings down the asymptotic bias and the overall mean squared error.

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