Search Results - subject:"Extreme value theory"

Predicting extreme VaR : nonparametric quantile regression with refinements from extreme value theory

Schaumburg, Julia - 2010

extreme value theory. The out-of-sample forecasting performance of our methods turns out to be clearly superior to different … management ; extreme value theory ; monotonization ; CAViaR …

Persistent link: https://www.econbiz.de/10003952845

Some results for extreme value processes in analogy to the Gaussian spectral representation

Ehlert, Andree; Schlather, Martin - 2010

The extremal coefficient function has been discussed as an analog of the autocovariance function for extreme values. However, as to the behavior of valid extremal coefficient functions little is known apart from their positive definite type. In particular, the reconstruction of valid processes...

Persistent link: https://www.econbiz.de/10010336338

Some aspects of random utility, extreme value theory and multinomial logit models

Andersson, Jonas; Ubøe, Jan - 2010

Persistent link: https://www.econbiz.de/10003939638

An M-Estimator of multivariate tail dependence

Krajina, Andrea - 2010

Persistent link: https://www.econbiz.de/10003978221

Tail behavior of credit loss distributions for general latent factor models

Lucas, André; Klaassen, Pieter; Spreij, Peter; … - 2001

Using a limiting approach to portfolio credit risk, we obtain analyticexpressions for the tail behavior of the distribution of credit losses. We showthat in many cases of practical interest the distribution of these losses haspolynomial ('fat') rather than exponential ('thin') tails. Our...

Persistent link: https://www.econbiz.de/10011316891

Hybrid historical simulation VaR and ES : performance in developed and emerging markets

Zikovic, Sasa; Filer, Randall - 2009

We introduce a new hybrid approach to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high quantiles of return distributions. We investigate the relative performance of VaR and ES models using daily returns for sixteen stock market indices (eight from developed and eight...

Persistent link: https://www.econbiz.de/10010265962

Different risk-adjusted fund performance measures: a comparison

Grau-Carles, Pilar; Sainz, Jorge; Otamendi, Javier; … - 2009

-Fisher expansion and on the extreme value theory. Moreover, we construct a performance index similar to the Sharpe ratio using these …

Persistent link: https://www.econbiz.de/10010299556

Scaling conditional tail probability and quantile estimators

Cotter, John - 2009

period). The authors refer to this framework as conditional extreme value theory (EVT). To begin, they use an AR(1)-Garch(1 …

Persistent link: https://www.econbiz.de/10009475704

Inference for extremal conditional quantile models, with an application to market and birthweight risks

Chernozhukov, Victor; Fernández-Val, Iván - 2009

Quantile regression is an increasingly important empirical tool in economics and other sciences for analyzing the impact of a set of regressors on the conditional distribution of an outcome. Extremal quantile regression, or quantile regression applied to the tails, is of interest in many...

Persistent link: https://www.econbiz.de/10010288297

Tails, Fears and Risk Premia

Bollerslev, Tim; Todorov, Viktor - School of Economics and Management, University of Aarhus - 2009

probability measure from "medium" size jumps in high-frequency intraday prices and an extreme value theory approximation for the … from \medium" size jumps in high-frequency intraday prices and an extreme value theory approximation for the corresponding …, extreme value theory, equity risk premium, variance risk premium. JEL classiflcation: C13, C14, G10, G12. ⁄We would like to …

Persistent link: https://www.econbiz.de/10004980201