Related papers: The extremogram and the cross-extremogram for a bi…
This paper surveys some recent results and progress on the extremal prob- lems in a given set consisting of all simple connected graphs with the same graphic degree sequence. In particular, we study and characterize the extremal graphs…
This paper provides a probabilistic and statistical comparison of the log-GARCH and EGARCH models, which both rely on multiplicative volatility dynamics without positivity constraints. We compare the main probabilistic properties (strict…
The use of expectiles in risk management has recently gathered remarkable momentum due to their excellent axiomatic and probabilistic properties. In particular, the class of elicitable law-invariant coherent risk measures only consists of…
Due to the unitary evolution, quantum walks display different dynamical features from that of classical random walks. In contrast to this expectation, in this work, we show that extreme events can arise in unitary dynamics and its…
In this paper we provide a connection between the geometrical properties of a chaotic dynamical system and the distribution of extreme values. We show that the extremes of so-called physical observables are distributed according to the…
In this paper we study time-consistent risk measures for returns that are given by a GARCH(1,1) model. We present a construction of risk measures based on their static counterparts that overcomes the lack of time-consistency. We then study…
The sum of the absolute values of the eigenvalues of a graph is called the energy of the graph. We study the problem of finding graphs with extremal energy within specified classes of graphs. We develop tools for treating such problems and…
The bivariate copulas that describe the dependencies and partial dependencies of lagged variables in strictly stationary, first-order GARCH-type processes are investigated. It is shown that the copulas of symmetric GARCH processes are…
In this paper, we propose an estimator of the second-order parameter of randomly right-truncated Pareto-type distributions data and establish its consistency and asymptotic normality. Moreover, we derive an asymptotically unbiased estimator…
The reflected process of a random walk or L\'evy process arises in many areas of applied probability, and a question of particular interest is how the tail of the distribution of the heights of the excursions away from zero behaves…
Inference over tails is usually performed by fitting an appropriate limiting distribution over observations that exceed a fixed threshold. However, the choice of such threshold is critical and can affect the inferential results. Extreme…
Extremal clusters of stationary processes with long memory can be quite intricate. For certain stationary infinitely divisible processes with subexponential tails, including both power-like tails and certain lighter tails, e.g.…
We attempt to unveil the fine structure of volatility feedback effects in the context of general quadratic autoregressive (QARCH) models, which assume that today's volatility can be expressed as a general quadratic form of the past daily…
When a spatial process is recorded over time and the observation at a given time instant is viewed as a point in a function space, the result is a time series taking values in a Banach space. To study the spatio-temporal extremal dynamics…
For a given time horizon DT, this article explores the relationship between the realized volatility (the volatility that will occur between t and t+DT), the implied volatility (corresponding to at-the-money option with expiry at t+DT), and…
This paper develops a Bayesian framework for the realized exponential generalized autoregressive conditional heteroskedasticity (realized EGARCH) model, which can incorporate multiple realized volatility measures for the modelling of a…
We compare our results on empirical analysis of financial data with simulations of two stochastic models of the dynamics of stock market prices. The two models are (i) the truncated L\'evy flight recently introduced by us and (ii) the…
This paper introduces a novel measure to quantify the directional dependence of extreme events between two variables. The proposed approach is designed to capture asymmetric tail dependence by studying conditional tail expectations of…
The binding number $b(G)$ of a graph, introduced by Woodall [J. Combin. Theory, Ser. B, 1973], is a central topic of both structural and extremal graph theory. It is closely related to fundamental combinatorial and structural properties of…
The chosen tool of this thesis is an extremal type approach. The lesson drawn by the theorems proved in the thesis is that surprisingly small compromise is necessary on the efficacy of the solutions to make the approach work. The problems…