Roetersstraat 11
Amsterdam, North Holland 1018 WB
Netherlands
http://yihe.nl
Burg. Oudlaan 50
Rotterdam, 3062 PA
University of Amsterdam - Amsterdam School of Economics (ASE)
Tinbergen Institute
Extreme value statistics, functional central limit theorem, heterogeneous scales model, Hill estimator, non-identical distributions, weighted tail empirical process
High-dimensional linear model; spectral analysis; Tikhonov regularization; mixed-effects model; cross-validation
Power law; Extreme values; Heterogeneous data; Financial returns; Scales
Power law, Extreme values, Heterogeneous data, COVID-19; Inequality
Asymptotics, CoVaR, Quantile Regression, Systemic Risk
High-dimensional linear model, hypothesis testing, uniformly powerful test, nuisance parameter, random matrix
Factor models, random matrices, principal components, eigenvalues, central limit theorem, heavy tail, integrated time series, local correlation
Endpoint estimation, extreme value statistics, heterogeneous data extremes, moment estimator, monozygotic twins, weighted tail empirical process
Survival analysis, Generalized Pareto distribution, Random weighted bootstrap, Asymptotic normality, Duration data
Principal component analysis, random matrix theory, non-stationary time series, power law, central limit theorem, power enhancement
Duration data, censoring, generalized Pareto distribution, random weighted bootstrap, asymptotic normality
