Older work: Applications of Extreme Value Theory (EVT)

Heavy tails and size distributions

• vignette: beypondpareto, a stata package
• (2019, ER): Size distributions reconsidered

An early paper which introduced EVT to the literature on income inequality:

• (2002, JoE): Tails of Lorenz curves

On (higher order) distortions in rank-size regressions, with applications to Top Incomes and the City Size Distribution

• (2020, EMEC): On Zipf’s law and the bias of Zipf regressions
• (2018, Econometrics): Top Incomes, Heavy Tails, and Rank-Size Regressions

On how heavy tailed distributions arise in limit theorems for random means, with an application to finance.

• (2016, JAP): Weak convergence to the Student and Laplace distributions

Outlier detection, with an application to finance

• (2008, JEmpFin): Identifying Multiple Outliers in Heavy-Tailed Distributions with an Application to Market Crashes

Statistical inference in the presence of heavy tails, with applications to income distributions

• (2012, Ects Journal): On the Problem of Inference for Inequality Measures for Heavy-Tailed Distributions
• (2002, JoE): Tails of Lorenz curves