Concepedia

High Quantile Estimation

High Quantile Estimation is a statistical methodology within extreme value theory that specifically addresses the estimation of quantiles in the upper tail of a distribution, where the focus is on accurately characterizing rare and extreme events beyond typical sample observations.

115

Publications

5.7K

Citations

243

Authors

185

Institutions

Publications per year

2017–2026

44

Parents

Publications

115

A Moment Estimator for the Index of an Extreme-Value Distribution

Arnold Dekkers, J.H.J. Einmahl, Laurens de Haan · The Annals of Statistics · 1989 · 699 citations · Full text

, , +11

Design Life Level: Quantifying risk in a changing climate

Holger Rootzén, Richard W. Katz · Water Resources Research · 2013 · 221 citations · Full text

, , +13

The asymmetric effects of oil price on sectoral Islamic stocks: New evidence from quantile-on-quantile regression approach

Bisharat Hussain Chang, Arshian Sharif, Ameenullah Aman et al. · Resources Policy · 2019 · 189 citations

, , +17

High volatility, thick tails and extreme value theory in value-at-risk estimation

Ramazan Gençay, Faruk Selçuk∥, Abdurrahman Ulugülyağcı · Insurance Mathematics and Economics · 2003 · 168 citations

, , +17

Estimation of parameters and large quantiles based on the K largest observations

Ishay Weissman · Advances in Applied Probability · 1978 · 135 citations

, , +15

1–5 of 115

Authors

243

  1. PE
    Paul Embrechts

    ETH Zurich, Switzerland

    6 publications · 364 citations

    6

    h-index

  2. MI
    M. Ivette Gomes

    University of Lisbon, Portugal

    5 publications · 236 citations

    5

    h-index

  3. LD
    Laurens de Haan

    Erasmus University Rotterdam, Netherlands

    5 publications · 944 citations

    5

    h-index

  4. MD
    Matthias Degen

    ETH Zurich, Switzerland

    4 publications · 250 citations

    4

    h-index

  5. DL
    Deyuan Li

    Fudan University, China

    3 publications · 170 citations

    3

    h-index

1–5 of 243

Institutions

185

  1. University of Lisbon

    Lisbon, Portugal

    7 h-index

    12 publications

    571 citations

  2. ETH Zurich

    Zurich, Switzerland

    6 h-index

    12 publications

    895 citations

  3. Swiss Finance Institute

    Zurich, Switzerland

    4 h-index

    4 publications

    141 citations

  4. Fudan University

    Shanghai, China

    4 h-index

    4 publications

    192 citations

  5. Erasmus University Rotterdam

    Rotterdam, The Netherlands

    4 h-index

    6 publications

    558 citations

  6. Amrita Vishwa Vidyapeetham

    Coimbatore, India

    2 h-index

    2 publications

    147 citations

  7. Bahauddin Zakariya University

    Multan, Pakistan

    2 h-index

    2 publications

    94 citations

  8. Sunway University

    Petaling Jaya, Malaysia

    2 h-index

    2 publications

    81 citations

1–8 of 185

Venues

  1. 9

    h-index

  2. Water Resources Research

    4 publications · 386 citations

    4

    h-index

  3. Journal of Multivariate Analysis

    3 publications · 44 citations

    3

    h-index

  4. Astin Bulletin

    3 publications · 216 citations

    3

    h-index

  5. SSRN Electronic Journal

    Repository · 3 publications · 53 citations

    3

    h-index

1–5