Economics, Econometrics and Finance
4 years ago

New models predict systematic risks and contagions for diverse populations.

Statistical Theory and Related Fields
On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures
Zhengjun Zhang

Paper Summary

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The article discusses new ways to predict extreme events and risks using advanced statistical models. It explains how these models can help understand extreme values in different populations and sources. The focus is on time series models that can be used in various fields. These models offer alternatives to traditional ones like ARMA and GARCH models. The key applications discussed are predicting systematic risks and large-scale contagions.