Sequential monitoring of the tail behavior of dependent data

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

Robert F. Engle · Econometrica · 1982 · 20.6K citations

Computing, Economics, Econometrics +15

A Simple General Approach to Inference About the Tail of a Distribution

Bruce M. Hill · The Annals of Statistics · 1975 · 3.1K citations · Full text

Natural Sciences, Mathematics, Bayesian Data Analysis +15

Tail Risk and Asset Prices

Bryan Kelly, Hao Jiang · Review of Financial Studies · 2014 · 797 citations

Business, Economics, Finance +17

Weak Convergence and Empirical Processes

Thomas Mikosch, Aad van der Vaart, Jon A. Wellner · Journal of the American Statistical Association · 1997 · 775 citations

Natural Sciences, Mathematics, Stochastic Processes +10

Estimation of Parameters and Large Quantiles Based on the <i>k</i> Largest Observations

Ishay Weissman · Journal of the American Statistical Association · 1978 · 470 citations

Natural Sciences, Mathematics, Econometrics +16