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Search: subject:"generalized extreme value"
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Generalized extreme value distribution
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generalized extreme value distribution
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generalized extreme value
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Discussion paper series / University of Essex, Department of Economics
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Economics, management and financial markets
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Handbook of research on emerging theories, models, and applications of financial econometrics
1
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ECONIS (ZBW)
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1
Bootstrapping time-varying uncertainty intervals for extreme daily return periods
Makatjane, Katleho
- In:
International Journal of Financial Studies : open …
10
(
2022
)
1
,
pp. 1-23
score-
generalized
extreme
value
distribution (SARIMA-GAS-GEVD) with a skewed student-t distribution had the best prediction …
Persistent link: https://www.econbiz.de/10012804913
Saved in:
2
Predicting the tail behavior of financial times stock exchange/Johannesburg Stock Exchange (FTSE/JSE) closing banking indices : extreme value theory approach
Makatjane, Katleho
;
Moroke, Ntebogang Dinah
;
Munapo, Elias
- In:
Handbook of research on emerging theories, models, and …
,
(pp. 31-64)
.
2021
better distribution than the
generalized
extreme
value
(GEV) in estimating extreme loses and that the computation of economic …
Persistent link: https://www.econbiz.de/10012604174
Saved in:
3
Modeling maxima with autoregressive conditional Fréchet model
Zhao, Zifeng
;
Zhang, Zhengjun
;
Chen, Rong
- In:
Journal of econometrics
207
(
2018
)
2
,
pp. 325-351
Persistent link: https://www.econbiz.de/10012116357
Saved in:
4
Volatility modeling of real Gdp growth rates in South Africa
Sigauke, Caston
- In:
Economics, management and financial markets
8
(
2013
)
2
,
pp. 81-84
Persistent link: https://www.econbiz.de/10011542998
Saved in:
5
Forecasting extreme volatility of FTSE-100 with model free VFTSE, Carr-Wu and
Generalized
Extreme
Value
(GEV) option implied volatility indices
Markose, Sheri M.
;
Yue Peng
;
Alentorn, Amadeo
-
2012
Persistent link: https://www.econbiz.de/10009544687
Saved in:
6
Semi-parametric method for estimating tail related risk measures in the stock market
Lee, Ho Jin
- In:
The Korean economic review
32
(
2016
)
2
,
pp. 295-329
Persistent link: https://www.econbiz.de/10011649371
Saved in:
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