Cover Image

Nonparametric Inference for Extreme CoVaR and CoES

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Zhong, Qingzhao, Hou, Yanxi
Format:	Preprint
Published:	2025
Subjects:	Methodology
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Estimations of Extreme CoVaR and CoES under Asymptotic Independence
by: Zhong, Qingzhao
Published: (2026)

Extreme Value Inference for CoVaR and Systemic Risk
by: Li, Xiaoting, et al.
Published: (2026)

Tail Risk Equivalent Level Transition and Its Application for Estimating Extreme $L_p$-quantiles
by: Zhong, Qingzhao, et al.
Published: (2024)

CoVaR under Asymptotic Independence
by: Wang, Zhaowen, et al.
Published: (2026)

Dynamic CoVaR Modeling and Estimation
by: Dimitriadis, Timo, et al.
Published: (2022)

Persistence-Robust Break Detection in Predictive CoVaR Regressions
by: Hoga, Yannick
Published: (2024)

A General CoVaR Based on Entropy Pooling
by: Xu, Yuhong, et al.
Published: (2025)

Efficient Nested Estimation of CoVaR: A Decoupled Approach
by: Lin, Nifei, et al.
Published: (2024)

Bootstrap-based Inference for Bivariate Heteroscedastic Extremes with a Changing Tail Copula
by: Hu, Yifan, et al.
Published: (2024)

EVIboost for the Estimation of Extreme Value Index under Heterogeneous Extremes
by: Wang, Jiaxi, et al.
Published: (2022)

Measuring risk contagion in financial networks with CoVaR
by: Das, Bikramjit, et al.
Published: (2023)

Factorized Tail Volatility Model: Augmenting Excess-over-Threshold Method for High-Dimensional Hevay-Tailed Data
by: Hu, Yifan, et al.
Published: (2025)

Transformer-based CoVaR: Systemic Risk in Textual Information
by: Chen, Junyu, et al.
Published: (2026)

Preparing Ground and Excited States Using Adiabatic CoVaR
by: Hwang, Wooseop, et al.
Published: (2024)

npcure: An R Package for Nonparametric Inference in Mixture Cure Models
by: López-Cheda, Ana, et al.
Published: (2024)

Nonparametric Inference for Balance in Signed Networks
by: Chen, Xuyang, et al.
Published: (2024)

Copula Analysis of Risk: A Multivariate Risk Analysis for VaR and CoVaR using Copulas and DCC-GARCH
by: Singh, Aryan, et al.
Published: (2025)

Bootstrap Nonparametric Inference under Data Integration
by: Shang, Zuofeng, et al.
Published: (2025)

Nonparametric Statistical Inference for Multivariate Niche Overlap
by: Beck, Jonas, et al.
Published: (2026)

Nonparametric Inference on Unlabeled Histograms
by: Ma, Yun, et al.
Published: (2025)

Nonparametric Inference Framework for Time-dependent Epidemic Models
by: Luu, Son, et al.
Published: (2024)

Variational Nonparametric Inference in Functional Stochastic Block Model
by: Shang, Zuofeng, et al.
Published: (2024)

Probability equivalent level for CoVaR and VaR in bivariate Student-\textit{t} copulas with application to foreign exchange risk monitoring
by: Flores-Silva, Daniela I., et al.
Published: (2025)

Efficient Nonparametric Inference for Mediation Analysis with Nonignorable Missing Confounders
by: Shan, Jiawei, et al.
Published: (2024)

Bayesian Modelling of Nonstationary Extreme Values Using a Nonparametric Hawkes Process
by: Ross, Gordon J., et al.
Published: (2026)

Nonparametric Identification and Inference for Counterfactual Distributions with Confounding
by: Sun, Jianle, et al.
Published: (2026)

Deep Nonparametric Inference for Conditional Hazard Function
by: Su, Wen, et al.
Published: (2024)

Monotonicity-Constrained Nonparametric Estimation and Inference for First-Price Auctions
by: Ma, Jun, et al.
Published: (2019)

Multi-Layer Kernel Machines: Fast and Optimal Nonparametric Regression with Uncertainty Quantification
by: Dai, Xiaowu, et al.
Published: (2024)

Extrapolation-Aware Nonparametric Statistical Inference
by: Pfister, Niklas, et al.
Published: (2024)

Learning to Simulate: Generative Metamodeling via Quantile Regression
by: Hong, L. Jeff, et al.
Published: (2023)

Perturbation-based Inference for Extreme Value Index
by: Tang, Yiwei, et al.
Published: (2025)

Nonparametric Inference with an Instrumental Variable under a Separable Binary Treatment Choice Model
by: Park, Chan, et al.
Published: (2026)

Nonparametric Uniform Inference in Binary Classification and Policy Values
by: Liu, Nan, et al.
Published: (2025)

Bayesian Nonparametric Causal Inference for Quantile Residual Life: An Application to Alzheimer's Disease
by: Bae, Woojung, et al.
Published: (2026)

VaSST: Variational Inference for Symbolic Regression using Soft Symbolic Trees
by: Roy, Somjit, et al.
Published: (2026)

Geopolitical Risk and Extreme Risk Connectedness Among Energy and Other Strategic Commodities: Fresh Sight Using the High‐Dimensional CoVaR Model
by: Qingying Zheng, et al.
Published: (2024)

Empirical Bayes Estimation and Inference via Smooth Nonparametric Maximum Likelihood
by: Kim, Taehyun, et al.
Published: (2026)

Nonparametric Statistical Inference via Metric Distribution Function in Metric Spaces
by: Wang, Xueqin, et al.
Published: (2021)

Flexible Nonparametric Inference for Causal Effects under the Front-Door Model
by: Guo, Anna, et al.
Published: (2023)