Adjusted Extreme Conditional Quantile Autoregression with Application to Risk Measurement

<div>Quantile estimates at various <span class="nowrap"><svg height="6.1673pt" id="M230" style="vertical-align:-0.2063904pt" version="1.1" viewbox="-0.0498162 -5.96091 7.51131 6.1673" width="7.51131pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M545 106L524 126C493 85 467 65 455 65C438 65 427 113 405 238C448 295 498 362 543 439L533 448L478 435C453 386 423 331 398 295H395C370 404 347 448 282 448C169 448 23 309 23 153C23 54 65 -12 128 -12C203 -12 283 70 339 155H341C360 29 380 -12 411 -12C444 -12 491 11 545 106ZM333 204C265 95 210 54 169 54C137 54 113 96 113 171C113 302 191 405 252 405C301 405 318 306 333 204Z"></path></g></svg>-</span>levels for <span class="nowrap"><svg height="9.7557pt" id="M231" style="vertical-align:-0.46737pt" version="1.1" viewbox="-0.0498162 -9.28833 43.9129 9.7557" width="43.9129pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M475 507C475 612 440 712 326 712C139 712 23 420 23 215C23 96 58 -12 180 -12C369 -12 475 293 475 507ZM391 522C391 486 387 448 379 394H126C155 538 222 677 310 677C386 677 391 571 391 522ZM373 346C344 193 283 22 189 22C126 22 106 114 106 196C106 243 111 293 118 346H373Z"></path></g><g transform="matrix(.013,0,0,-0.013,10.107,0)"><path d="M535 323V373H52V323H535ZM535 138V188H52V138H535Z"></path></g><g transform="matrix(.013,0,0,-0.013,21.37,0)"><path d="M153 550H386L412 615L406 623H120L82 318C104 327 142 338 184 338C294 338 347 275 347 187C347 112 305 39 221 39C160 39 119 71 97 89C88 97 80 96 71 90C59 80 50 67 49 57C48 45 52 36 66 23C80 9 123 -12 169 -12C221 -11 288 15 342 59C403 109 431 165 431 225C431 308 366 395 238 395C212 395 165 379 127 364L153 550Z"></path></g><g transform="matrix(.013,0,0,-0.013,27.61,0)"><path d="M241 635C89 635 35 457 35 312C35 153 89 -12 240 -12C390 -12 443 166 443 312C443 466 390 635 241 635ZM238 602C329 602 354 454 354 312C354 172 330 22 240 22C152 22 124 173 124 313S148 602 238 602Z"></path></g><g transform="matrix(.013,0,0,-0.013,33.85,0)"><path d="M594 629L561 652L159 -9L190 -32L594 629ZM194 635C92 635 49 534 49 453C49 374 92 272 193 272C295 272 338 374 338 454S295 635 194 635ZM193 605C257 605 265 504 265 453C265 405 257 302 194 302C133 302 122 403 122 454S133 605 193 605ZM567 351C465 351 421 250 421 169C421 90 465 -12 566 -12S710 90 710 170S667 351 567 351ZM566 322C628 322 637 221 637 169C637 121 628 18 567 18S494 119 494 170C494 223 506 322 566 322Z"></path></g></svg>.</span></div>

Journal of Probability and Statistics

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Figure 4

Figure 4: Adjusted Extreme Conditional Quantile Autoregression with Application to Risk Measurement 