Modeling Tail Index With Autoregressive Conditional Pareto Model
用自回归条件帕累托模型刻画动态尾指数
We propose an autoregressive conditional Pareto (AcP) model based on the dynamic peaks over threshold method to model a dynamic tail index in the financial markets. Unlike the score-based approach which is widely used in many articles, we use an exponential function to model the tail index process for its intuitiveness and interpretability. Probabilistic properties of the AcP model and the statistical properties of its parameter estimators of maximum likelihood are studied…