Discussion of ‘On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures’

Abstract

We congratulate Prof. Zhang for this timely review on recent advances in extreme value theory for heterogeneous populations and on time series models for extreme observations. This is a substantial effort. Not only does it give a summary of the state-of-the-art work in time series modelling of extremes but also suggests interesting methodological and applied research questions. Our discussion focuses on extremal dependence metrics and practical applications for the time series models.