Search Results - subject:"Extreme value theory"

Estimation and Inference in Nonparametric Frontier Models: Recent Developments and Perspectives

Simar, Léopold; Wilson, Paul W. - In: Foundations and Trends(R) in Econometrics 5 (2013) 3–4, pp. 183-337

as well as methods for making statistical inference, and a link between frontier estimation and extreme value theory has …

Persistent link: https://www.econbiz.de/10010990814

Early warning systems for currency crises: A multivariate extreme value approach

Cumperayot, Phornchanok; Kouwenberg, Roy - In: Journal of International Money and Finance 36 (2013) C, pp. 151-171

We apply extreme value theory to assess the tail dependence between three currency crisis measures and 18 economic …

Persistent link: https://www.econbiz.de/10011048441

Extreme market risk and extreme value theory

Singh, Abhay K.; Allen, David E.; Robert, Powell J. - In: Mathematics and Computers in Simulation (MATCOM) 94 (2013) C, pp. 310-328

, when dealing with extreme financial events and the quantification of extreme market risk is extreme value theory (EVT …). This proves to be a natural statistical modelling technique of relevance. Extreme value theory provides well … this paper we apply univariate extreme value theory to model extreme market risk for the ASX-All Ordinaries (Australian …

Persistent link: https://www.econbiz.de/10011051252

Long run peso/dollar exchange rates and extreme value behavior: Value at Risk modeling

de Jesús, Raúl; Ortiz, Edgar; Cabello, Alejandra - In: The North American Journal of Economics and Finance 24 (2013) C, pp. 139-152

We apply an extended VaR integrating a generalized extreme value distribution to estimate potential losses from investing in the peso/dollar exchange market using daily data for the period 1970–2007; the block maxima approach is used to minimize impact from dependency in prices due to the presence...

Persistent link: https://www.econbiz.de/10011056702

Multivariate dependence of implied volatilities from equity options as measure of systemic risk

Jobst, Andreas A. - In: International Review of Financial Analysis 28 (2013) C, pp. 112-129

This paper presents a methodology to examine the multivariate tail dependence of the implied volatility of equity options as an early warning indicator of systemic risk within the financial sector. Using non-parametric methods of estimating changes in the dependence structure in response to...

Persistent link: https://www.econbiz.de/10011056771

Market crises and Basel capital requirements: Could Basel III have been different? Evidence from Portugal, Ireland, Greece and Spain (PIGS)

Rossignolo, Adrián F.; Fethi, Meryem Duygun; Shaban, … - In: Journal of Banking & Finance 37 (2013) 5, pp. 1323-1339

Basel III. We emphasize that leptokurtic models, primarily those derived from Extreme Value Theory, should be enforced in …

Persistent link: https://www.econbiz.de/10011065610

Portfolio selection: An extreme value approach

DiTraglia, Francis J.; Gerlach, Jeffrey R. - In: Journal of Banking & Finance 37 (2013) 2, pp. 305-323

We show theoretically that lower tail dependence (χ), a measure of the probability that a portfolio will suffer large losses given that the market does, contains important information for risk-averse investors. We then estimate χ for a sample of DJIA stocks and show that it differs...

Persistent link: https://www.econbiz.de/10011065726

Does Foreign Investment Worsen the Domestic Stock Market During a Financial Crisis? Evidence from Taiwan

Hsu, Chun-Pin; Huang, Chun-Wen; Ntoko, Alfred - In: The International Journal of Business and Finance Research 7 (2013) 4, pp. 1-12

Foreign portfolio investment is a major means by which emerging stock markets accumulate capital. However, the high mobility of foreign funds is a concern for local investors and policymakers in emerging countries because it may induce high stock price volatility. In this study, we utilized a...

Persistent link: https://www.econbiz.de/10011143936

Bayesian approach for optimal PV system sizing under climate change

Chen, Shin-Guang - In: Omega 41 (2013) 2, pp. 176-185

threshold-based Extreme Value Theory is presented. This index indicates the upper bound reliability for applications and …

Persistent link: https://www.econbiz.de/10010580794

Extremes of multivariate ARMAX processes

Ferreira, Marta; Ferreira, Helena - In: TEST: An Official Journal of the Spanish Society of … 22 (2013) 4, pp. 606-627

We define a new multivariate time series model by generalizing the ARMAX process in a multivariate way. We give conditions on stationarity and analyze local dependence and domains of attraction. As a consequence of the obtained results, we derive new multivariate extreme value distributions. We...

Persistent link: https://www.econbiz.de/10010994257