The variance risk premium, defined as the difference between the actual and risk-neutral
expectations of the forward aggregate market variation, helps predict future market returns …

This paper proposes the cross-quantilogram to measure the quantile dependence between
two time series. We apply it to test the hypothesis that one time series has no directional …

This book is concerned with extreme value theory for stochastic processes whose finite-
dimensional distributions are heavy-tailed in the restrictive sense of regular variation. These …

The beginning of the age of artificial intelligence and machine learning has created new
challenges and opportunities for data analysts, statisticians, mathematicians …

This survey covers probabilistic timing analysis techniques for real-time systems. It reviews
and critiques the key results in the field from its origins in 2000 to the latest research …

In this paper, we introduce quantile coherency to measure general dependence structures
emerging in the joint distribution in the frequency domain and argue that this type of …

This paper investigates the evolution of the information transmission between Chinese and
international crude oil markets from the perspective of return and volatility spillovers through …

This review paper surveys recent development in software implementations for extreme
value analyses since the publication of Stephenson and Gilleland (Extremes 8: 87–109,) …

This work provides a selective review of the most recent dynamic models based on extreme
value theory, in terms of their ability to forecast financial losses through different risk …

We provide a new framework for estimating the systematic and idiosyncratic jump tail risks in
financial asset prices. Our estimates are based on in-fill asymptotics for directly identifying …