C58 - Financial Econometrics

• Tail Index Estimation: Quantile-Driven Threshold Selection

  Staff Working Paper 2019-28 Jon Danielsson, Lerby Ergun, Casper G. de Vries, Laurens de Haan

  The most extreme events, such as economic crises, are rare but often have a great impact. It is difficult to precisely determine the likelihood of such events because the sample is small.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial stability JEL Code(s): C, C0, C01, C1, C14, C5, C58

• Composite Likelihood Estimation of an Autoregressive Panel Probit Model with Random Effects

  Staff Working Paper 2019-16 Kerem Tuzcuoglu

  Modeling and estimating persistent discrete data can be challenging. In this paper, we use an autoregressive panel probit model where the autocorrelation in the discrete variable is driven by the autocorrelation in the latent variable. In such a non-linear model, the autocorrelation in an unobserved variable results in an intractable likelihood containing high-dimensional integrals.

  Content Type(s): Staff research, Staff working papers Topic(s): Credit risk management, Econometric and statistical methods, Economic models JEL Code(s): C, C2, C23, C25, C5, C58, G, G2, G24