Search Results - subject:"Extreme value"

Electricity demand forecasting of value-at-risk and expected shortfall : the South African context

Masilo, Bofelo Moemedi; Makatjane, Katleho - In: International Journal of Energy Economics and Policy : IJEEP 15 (2025) 1, pp. 481-489

Persistent link: https://www.econbiz.de/10015404066

Joint extreme Value-at-Rrisk and Expected Shortfall dynamics with a single integrated tail shape parameter

D'Innocenzo, Enzo; Lucas, André; Schwaab, Bernd; Zhang, Xin - 2025

Value-at-Risk (VaR) and Expected Shortfall (ES). The framework builds on Extreme Value Theory and uses a conditional version …We propose a robust semi-parametric framework for persistent time-varying extreme tail behavior, including extreme …

Persistent link: https://www.econbiz.de/10015324099

Extreme value statistics using related variables

Ahmed, Hanan - 2022

Persistent link: https://www.econbiz.de/10013263346

Bayesian inference for income inequality using a Pareto II tail with an uncertain threshold : combining EU-SILC and WID data

Silva, Mathias; Lubrano, Michel - 2024

Persistent link: https://www.econbiz.de/10015130401

A unified theory of extreme Expected Shortfall inference

Daouia, Abdelaati; Stupfler, Gilles; Usseglio-Carleve, … - 2024

Persistent link: https://www.econbiz.de/10015097279

Maximum lq-likelihood estimator of the heavy-tailed distribution parameter

Kouider, Mohammed Tidha; Idiou, Nesrine; Toumi, Samia; … - In: Croatian review of economic, business and social … 10 (2024) 2, pp. 29-48

Studying the extreme value theory (EVT) involves multiple main objectives, among them the estimation of the tail index …

Persistent link: https://www.econbiz.de/10015375901

Testing extreme warming and geographical heterogeneity

Gadea, María Dolores; Gonzalo, Jesús; Olmo, Jose - 2024

Persistent link: https://www.econbiz.de/10015395810

An evaluation of the adequacy of Lévy and extreme value tail risk estimates

Mozumber, Sharif; Hassan, M. Kabir; Kabir, M. Humayun - In: Financial innovation : FIN 10 (2024), pp. 1-26

shortfall (ES)-when applied to tail targeting of the extreme value (EV) model. We implement Lévy-VaR and ES risk measures as …

Persistent link: https://www.econbiz.de/10014547241

Extreme value inference for general heterogeneous data

He, Yi; Einmahl, John H. J. - 2024

Persistent link: https://www.econbiz.de/10014528470

Tail copula estimation for heteroscedastic extremes

Einmahl, John H. J.; Chen Zhou - 2024

Persistent link: https://www.econbiz.de/10014467520

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