most cited2T-POT Hawkes model for left- and right-tail conditional quantile forecasts of financial log-returns: out-of-sample comparison of conditional EVT models

9 citations · 9 across the 1 of their papers we have counts for

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1 paper

q-fin.ST2022★ 9 cited

2T-POT Hawkes model for left- and right-tail conditional quantile forecasts of financial log-returns: out-of-sample comparison of conditional EVT models

Matthew F. Tomlinson, David Greenwood, Marcin Mucha-Kruczynski

Conditional extreme value theory (EVT) methods promise enhanced forecasting of the extreme tail events that often dominate systemic risk. We present an improved two-tailed peaks-ov…