Speaker
Simone Padoan
(Bocconi University)
Description
In this talk we introduce the basic results of univariate Extreme Value Theory (EVT) that give rise to two of the most popular statistical methods for analysing extremes used in applications: the block maxima and peaks-over-threshold. We discuss one of the most important practical aims of EVT that is the tail risk estimation. We introduce expectiles as an alternative risk measure to the commonly used value at risk. We provide a basis for inference on extreme expectiles in a general β-mixing context that encompasses ARMA and GARCH models with heavy tailed innovations. We show the utility of the proposal when the data are serially dependent with simulations and a real data application.
Author
Simone Padoan
(Bocconi University)
