Search Results - subject:"Extreme value theory"

A new class of copulas with tail dependence and a generalized tail dependence estimator

Fischer, Matthias; Hinzmann, Gerd - 2006

We present a new family of copulas ("generalized mean copulas") which is positive comprehensive and allows for upper tail dependence. It includes the Spearman copula and a specific Fréchet copula as special cases. Some properties and a generalized tail dependence estimator are derived. Finally,...

Persistent link: https://www.econbiz.de/10003903629

Extreme value theory for space-time processes with heavy-tailed distributions

Davis, Richard A.; Mikosch, Thomas - 2006

Persistent link: https://www.econbiz.de/10003370444

On dependence and extremes

Kuhn, Gabriel (contributor) - 2006

distribution. Extreme value theory In statistics, extreme value theory offers methods to describe rare events of extreme ran- dom … outcomes. Univariate extreme value theory starts with the asymptotic theory for maxima M1 = X1 and Mn = nlogicalordisplay i=1 …. Then, multivariate extreme value theory considers the limiting distribution of the componentwise maxima M1 = (X1,1,...,X1,d …

Persistent link: https://www.econbiz.de/10003372028

Auto-dependence structure of arch-models : tail dependence coefficients

Brummelhuis, Raymond (contributor) - 2006

Persistent link: https://www.econbiz.de/10003324645

Extreme Value Analysis of Teletraffic Data

Tsourti, Zoi; Panaretos, John - 2006

An empirically verified characteristic of the expanding area of Internet is the longtailness of phenomena such as cpu time to complete a job, call holding times, files lengths requested, inter-arrival times and so on. Extreme values of the above quantities are liable to cause problems to the...

Persistent link: https://www.econbiz.de/10014054375

Basel II : capital requirements for equity investment portfolios

Suarez, Fabian; Dhaene, Jan; Henrard, Luc; Vanduffel, Steven - 2006

Persistent link: https://www.econbiz.de/10003610788

Are REITs a good shelter from financial crises? Evidence from the Asian markets

Chiang, Ming‐Chu; Tsai, I‐Chun; Sing, Tien‐Foo - In: Journal of Property Investment & Finance 31 (2013) 3, pp. 237-253

GARCH‐vech model is used to capture the time‐varying correlation. The extreme value theory (EVT) is then employed to …

Persistent link: https://www.econbiz.de/10014898368

The impact of global financial crisis on the dependence structure of equity markets and on risk management

Ghorbel, Ahmed; Trabelsi, Abdelwahed - In: International Journal of Managerial and Financial Accounting 5 (2013) 1, pp. 1-32

In this work, we use a time varying copula model to investigate the impact of the global financial crisis on dependence between US and each of six major stock markets and on risk management strategies. The model is implemented with an AR-GARCH-t for the marginal distribution and the extreme...

Persistent link: https://www.econbiz.de/10010816752

Measuring daily Value-at-Risk of SSEC index: A new approach based on multifractal analysis and extreme value theory

Wei, Yu; Chen, Wang; Lin, Yu - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 9, pp. 2163-2174

) by combining the newly introduced multifractal volatility (MFV) model and the extreme value theory (EVT) method. Two VaR …

Persistent link: https://www.econbiz.de/10010872923

Estimation of tail-related risk measures in the Indian stock market: An extreme value approach

Karmakar, Madhusudan - In: Review of Financial Economics 22 (2013) 3, pp. 79-85

The purpose of the study is to estimate tail-related risk measures using extreme value theory (EVT) in the Indian stock …

Persistent link: https://www.econbiz.de/10010875052