Discussion on “on studying extreme values and systematic risks with nonlinear time series models and tail dependence measures”

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Acknowledgments

We congratulate Dr. Zhang for a stimulating and interesting article on the important topics of extreme values with nonlinear time series models and tail dependence measures and thank Professor Jun Shao for giving us the opportunity to discuss this work.

Disclosure statement

No potential conflict of interest was reported by the author(s).

Additional information

Notes on contributors

Wen Xu

Wen Xu is a Phd candidate of Fudan University.

Huixia Judy Wang

Huixia Judy Wang is a Professor of The George Washington University.