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Statistical Theory and Related Fields Volume 5, 2021 - Issue 1
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Short Communications

Discussion of ‘On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures’

Tiandong Wanga Department of Statistics, Texas A&M University, College Station, TX, USA
&
Jun Yanb Department of Statistics, University of Connecticut, Storrs, CT, USACorrespondence[email protected]
Pages 38-40 | Received 24 Dec 2020, Accepted 24 Dec 2020, Published online: 22 Jan 2021

References

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  • Zhang, Z. (2021). On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures. Statistical Theory and Related Fields. Forthcoming.
  • Zhang, Z., Peng, L., & Idowu, T. (2016). Max-autoregressive and moving maxima models for extremes. In D. Dey & J. Yan (Eds.), Extreme value modeling and risk analysis: Methods and applications (pp. 153–178). CRC Press.

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