Casper G. de Vries - Latest - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T03:31:19+00:00Covariates Hiding in the Tails
https://www.bankofcanada.ca/2021/09/staff-working-paper-2021-45/
We characterize the bias in cross-sectional Hill estimates caused by common underlying factors and propose two simple-to-implement remedies. To test for the presence, direction and size of the bias, we use monthly US stock returns and annual US Census county population data.2021-09-29T14:11:22+00:00enCovariates Hiding in the Tails2021-09-29Econometric and statistical methodsStaff Working Paper 2021-45https://www.bankofcanada.ca/wp-content/uploads/2021/09/swp2021-45.pdfStaff Working Paper 2021-45Milian BachemLerby ErgunCasper G. de VriesSeptember 2021CC0C01C1C14C5C58Tail Index Estimation: Quantile-Driven Threshold Selection
https://www.bankofcanada.ca/2019/08/staff-working-paper-2019-28/
The most extreme events, such as economic crises, are rare but often have a great impact. It is difficult to precisely determine the likelihood of such events because the sample is small.2019-08-02T10:52:22+00:00enTail Index Estimation: Quantile-Driven Threshold Selection2019-08-02Econometric and statistical methodsFinancial stabilityStaff Working Paper 2019-28https://www.bankofcanada.ca/wp-content/uploads/2019/08/swp2019-28.pdfTail Index Estimation: Quantile-Driven Threshold SelectionJon DanielssonLerby ErgunCasper G. de VriesLaurens de HaanAugust 2019CC0C01C1C14C5C58Challenges in Implementing Worst-Case Analysis
https://www.bankofcanada.ca/2018/09/staff-working-paper-2018-47/
Worst-case analysis is used among financial regulators in the wake of the recent financial crisis to gauge the tail risk. We provide insight into worst-case analysis and provide guidance on how to estimate it. We derive the bias for the non-parametric heavy-tailed order statistics and contrast it with the semi-parametric extreme value theory (EVT) approach.2018-09-14T08:50:24+00:00enChallenges in Implementing Worst-Case Analysis2018-09-14Financial stabilityStaff Working Paper 2018-47https://www.bankofcanada.ca/wp-content/uploads/2018/09/swp2018-47.pdfChallenges in Implementing Worst-Case AnalysisJon DanielssonLerby ErgunCasper G. de VriesSeptember 2018CC0C01C1C14C5C58