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math.ST2025
Structural Causal Models for Extremes: an Approach Based on Exponent Measures
Shuyang Bai, Fei Fang, Tiandong Wang
We introduce a new formulation of structural causal models for extremes, called the extremal structural causal model (eSCM). Unlike conventional structural causal models, where ran…
math.ST2025
Classification of Extremal Dependence in Financial Markets via Bootstrap Inference
Qian Hui, Sidney I. Resnick, Tiandong Wang
Accurately identifying the extremal dependence structure in multivariate heavy-tailed data is a fundamental yet challenging task, particularly in financial applications. Following…