Karime Chahuán-Jiménez

Fractional Tail-Event Timing Diagnostics: Extreme Value Theory Severity, Mittag-Leffler Recurrence, and Stress Episodes

Extreme financial events are usually defined by loss magnitude alone, which quantifies severity but leaves open whether tail losses arrive in isolation or in temporally concentrated patterns. This paper develops a fractional tail-event timing diagnostic combining peaks-over-threshold (POT) generalized Pareto distributi...