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Finance Seminar Series: Yulong Wang (Maxwell School)
Start Date: 10/5/2017Start Time: 11:15 AM
End Date: 10/5/2017End Time: 12:30 PM
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Event Description:
Finance Seminar Series:

10/5/2017 11:15 AM    Maxwell SU--- Yulong Wang 
"Fix-k Asymptotically Unbiased Estimation of Tail Properties with Complete, Censored, or Truncated Data"


 "This paper considers estimating tail properties such as high quantiles and tail conditional expectations. We provide new asymptotically (quantile) unbiased estimators that are applicable to (i) complete data; (ii) tail censored (top coded) data with known or unknown censoring point; and (iii) tail truncated data with known and unknown truncation point. The new method relies on the sole assumption that the largest k observations satisfy the extreme value theory, for a given and fixed k. This asymptotics leads to excellent small sample bias and risk properties as shown by Monte Carlo simulations, and the empirical relevance is illustrated by estimating the high quantiles of the U.S. hurricane damage. In addition to i.i.d. data, the new method is generalized to accommodate stochastic volatility models by proving that the residuals of fitting a correctly specified GARCH model satisfy our assumption."

Location Information:
Syracuse University - Whitman School of Management
721 University Ave
Syracuse, NY 13244
Phone: (315) 443-3751
Room: Whitman 525
Contact Information:
Name: S. Dean/Lai Xu
Phone: x1381

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