Research projects

Project CEMAPRE internal

TitleTail index regression model and Time Series Analysis
ParticipantsJoão Nicolau (Principal Investigator)
SummaryThis project involves two areas. (1) In extreme value statistics, the tail index is an important
measure to gauge the heavy-tailed behavior of a distribution. Our goal is to link the tail index to
the linear predictor induced by covariates, which constitutes the tail index regression model. This
model may have interesting applications in finance and wages, income, etc. (2) We also want to
focus on Time Series Analysis, e.g. VAR-CCC-GARCH, Markov Chains, First Passage Time and Nonlinear