Using a bootstrap method to choose the sample fraction in tail index estimation

On the use of the peaks over thresholds method for estimating out-of-sample quantiles

Computational Statistics & Data Analysis

An Application of Extreme Value Theory for Measuring Financial Risk

Computational Economics

Bootstrap approximation of tail dependence function

Journal of Multivariate Analysis

Modelling the financial risk associated with U.S. movie box office earnings

Mathematics and Computers in Simulation

Beta kernel quantile estimators of heavy-tailed loss distributions

Statistics and Computing

Statistical Inferences for Generalized Pareto Distribution Based on Interior Penalty Function Algorithm and Bootstrap Methods and Applications in Analyzing Stock Data

Computational Economics