Project CEMAPRE internal
| Title | Tail index regression model and Time Series Analysis |
| Participants | João Nicolau (Principal Investigator) |
| Summary | This 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 Cointegration. |