A0236
Title: Exponential tilts for heteroscedastic extremes with an application to cryptocurrency markets
Authors: Miguel de Carvalho - FCiencias.ID - Associacao para a Investigacao e Desenvolvimento de Ciencias (Portugal) [presenting]
Raphael Huser - King Abdullah University of Science and Technology (Saudi Arabia)
Rodrigo Rubio - Pontificia Universidad Catolica de Chile (Chile)
Abstract: A density ratio model is proposed for modeling extreme values of non-identically distributed observations. The proposed model can be regarded as a proportional tails model for multisample settings. A semiparametric specification is devised so to link all elements in a family of scedasis densities through a tilt from a baseline scedasis. Inference is conducted by empirical likelihood inference methods. An application is given to model the dynamics of the frequency of extreme losses of some leading cryptocurrencies.
