A1909
Title: Tail index estimation in the presence of covariates: A systematic risk analysis
Authors: Paulo Rodrigues - Universidade Nova de Lisboa and Banco de Portugal (Portugal) [presenting]
Joao Nicolau - ISEG and CEMAPRE (Portugal)
Marian Stoykov - University of Essex (United Kingdom)
Abstract: Novel theoretical results are provided for the estimation of the conditional tail index of Pareto and Pareto-type distributions in a time series context. We show that both the estimators and relevant test statistics are normally distributed in the limit, when independent and identically distributed or dependent data are considered. Simulation results provide support for the theoretical findings and highlight the good finite sample performance of the approach in a time series context. The developed methodology is then used to evaluate systematic and unsystematic tail risk.
