Search Results - subject:"Extreme value theory"

Extreme value statistics using related variables

Ahmed, Hanan - 2022

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

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

bulk distribution components. This implies that the combination of a stochastic econometric model with extreme value theory …

Persistent link: https://www.econbiz.de/10012804913

Forecasting uncertainty intervals for return period of extreme daily electricity consumption

Makatjane, Katleho - In: International Journal of Energy Economics and Policy : IJEEP 12 (2022) 4, pp. 217-225

Persistent link: https://www.econbiz.de/10013366091

GARCH-UGH : a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series

Kaibuchi, Hibiki; Kawasaki, Yoshinori; Stupfler, G. - In: Quantitative finance 22 (2022) 7, pp. 1277-1294

Persistent link: https://www.econbiz.de/10013367899

Assessing the risk characteristics of the cryptocurrency market : a GARCH-EVT-Copula approach

Bruhn, Pascal; Ernst, Dietmar - In: Journal of risk and financial management : JRFM 15 (2022) 8, pp. 1-28

.1% of the total cryptocurrency market. The returns are examined for extreme tail risks by the application of Extreme Value … Theory. We utilise the GARCH-EVT approach in combination with a novel algorithm to automatically determine the optimal …

Persistent link: https://www.econbiz.de/10013380409

On the effectiveness of stock index futures for tail risk protection

Zouari, Hammadi - In: International journal of economics and financial issues … 12 (2022) 3, pp. 38-52

Persistent link: https://www.econbiz.de/10013259361

Best-arm identification using extreme value theory estimates of the CVaR

Troop, Dylan; Godin, Frédéric; Yu, Jia Yuan - In: Journal of risk and financial management : JRFM 15 (2022) 4, pp. 1-15

combining extreme value theory with automated threshold selection by ordered goodness-of-fit tests, and we apply this procedure …

Persistent link: https://www.econbiz.de/10013273036

Pricing hybrid-triggered catastrophe bonds based on copula-EVT model

Wei, Longfei; Liu, Lu; Hou, Jialong - In: Quantitative finance and economics 6 (2022) 2, pp. 223-243

Persistent link: https://www.econbiz.de/10013498934

Building up cyber resilience by better grasping cyber risk via a new algorithm for modelling heavy-tailed data

Dacorogna, Michel M.; Debbabi, Nehla; Kratz, Marie - 2022

Persistent link: https://www.econbiz.de/10013500692

Portfolio optimization for extreme risks with maximum diversification : an empirical analysis

Mehta, Navya Jayesh; Yang, Fan - In: Risks : open access journal 10 (2022) 5, pp. 1-26

Heavy tailedness and interconnectedness widely exist in stock returns and large insurance claims, which contributes to huge losses for financial institutions. Diversification ratio (DR) measures the degree of diversification using the Value-at-Risk, which is known to capture extreme risks better...

Persistent link: https://www.econbiz.de/10013358817