dowjones

<p>Series of negative log-returns of the U.S. stock market index Dow Jones.</p>

datasets

A set of procedures for estimating risks related to extreme events via risk measures such as Expectile, Value-at-Risk, etc. is provided. Estimation methods for univariate independent observations and temporal dependent observations are available. The methodology is extended to the case of independent multidimensional observations.  The statistical inference is performed through parametric and non-parametric estimators. Inferential procedures such as confidence intervals, confidence regions and hypothesis testing are obtained by exploiting the asymptotic theory. Adapts the methodologies derived in Padoan and Stupfler (2020) <arxiv:2004.04078>, Padoan and Stupfler (2020) <arxiv:2007.08944>, Daouia et al. (2018) <doi:10.1111/rssb.12254>, Drees (2000) <doi:10.1214/aoap/1019487617>, Drees (2003) <doi:10.3150/bj/1066223272>, de Haan and Ferreira (2006) <doi:10.1007/0-387-34471-3>, de Haan et al. (2016) <doi:10.1007/s00780-015-0287-6>.

Simone Padoan

ExtremeRisks

Extreme Risk Measures

Gilles Stupfler

Bocconi Institute for Data Science and Analytics 

French National Research 

dowjones function

Format

Negative log-returns of DOW JONES. — dowjones

Negative log-returns of DOW JONES.

dowjones: Negative log-returns of DOW JONES.

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