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

The geometry of heterogeneous extremes : optimal transport and entropic design

Buhai, Sebastian - 2026

)) , a Laplace-transform mixture of a classical extreme-value law, with F the mean-one distribution of opportunity …-order expansion that separates extreme value thery (EVT) approximation error from the heterogeneity kernel. As a complementary …

Persistent link: https://www.econbiz.de/10015625042

Comparative analysis of tail risk in emerging and developed equity markets : an extreme value theory perspective

Dlamini, Sthembiso; Shongwe, Sandile Charles - In: International Journal of Financial Studies : open … 14 (2026) 1, pp. 1-34

This research explores the application of extreme value theory in modelling and quantifying tail risks across different … Generalised Extreme Value Distribution (GEVD) and the Generalised Pareto Distribution (GPD) and to assess the associated tail risk …

Persistent link: https://www.econbiz.de/10015591162

Joint extreme value-at-risk and expected shortfall dynamics with a single integrated tail shape parameter

D'Innocenzo, Enzo; Lucas, André; Schwaab, Bernd; Zhang, Xin - 2026

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/10015592338

Navigating extreme market fluctuations : asset allocation strategies in developed vs. emerging economies

Bonga-Bonga, Lumengo - In: Econometrics : open access journal 14 (2026) 1, pp. 1-16

financial crisis by integrating traditional portfolio theory with Extreme Value Theory (EVT), using the Generalized Pareto … Distribution (GPD) and Generalized Extreme Value (GEV) approaches to model tail risks. This study evaluates mean …

Persistent link: https://www.econbiz.de/10015640564

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

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

Enhancing insurer portfolio resilience and capital efficiency with green bonds : a framework combining dynamic R-vine copulas and tail-risk modeling

Thitivadee Chaiyawat; Pannarat Guayjarernpanishk - In: Risks : open access journal 13 (2025) 9, pp. 1-34

for Thai life and non-life insurers. Leveraging ARMA-GJR-GARCH models with skewed Student-t innovations, extreme value …

Persistent link: https://www.econbiz.de/10015467328

Extremal expected shortfall regressions : inference and an application to health care spending

Hoga, Yannick; Karlsson, Martin - 2025

This paper proposes feasible inference methods for extremal expected shortfall (ES) regressions. While standard ES regressions consider a fixed probability level, in extremal ES regressions the probability level becomes more extreme as a function of the sample size. We show that in extremal ES...

Persistent link: https://www.econbiz.de/10015616196

Limiting distribution of the maximum drawdown for Brownian motion with positive drift

Bermin, Hans-Peter; Holm, Magnus - 2025

]. Using arguments from extreme value theory, we derive the limiting distribution of the maximum drawdown for a Brownian motion …

Persistent link: https://www.econbiz.de/10015557774

Robust learning of tail dependence

Ardakani, Omid M. - In: Econometrics : open access journal 13 (2025) 4, pp. 1-21

extreme value theory. I establish strong consistency and derive the semiparametric efficiency bound for estimating extremal …

Persistent link: https://www.econbiz.de/10015562118