Search Results - subject:"Extreme value theory"

Statistics of Multivariate Extremes with Applications in Risk Management

Herrera, Rodrigo - 2009

Persistent link: https://www.econbiz.de/10003899076

l 1 - penalized likelihood smoothing of volatility processes allowing for abrupt changes

Neto, David; Sardy, Sylvain; Tseng, Paul - 2009

Persistent link: https://www.econbiz.de/10003926975

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

Zikovic, Sasa; Filer, Randall Keith - 2009

; extreme value theory ; bootstrapping …

Persistent link: https://www.econbiz.de/10003891679

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 …-at-Risk ; extreme value theory …

Persistent link: https://www.econbiz.de/10003910120

Are banks too big to fail?

Chen Zhou - 2009

Persistent link: https://www.econbiz.de/10003912748

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

Chernozhukov, Victor; Fernández-Val, Iván - 2009 - This version: December 26, 2009

Value Theory … live infants' birthweights in the range between 250 and 1500 grams. -- Quantile Regression ; Feasible Inference ; Extreme …

Persistent link: https://www.econbiz.de/10009419329

Can open capital markets help avoid currency crises?

Garita, Gus; Chen Zhou - 2009

Persistent link: https://www.econbiz.de/10003806070

Dependence structure of risk factors and diversification effects

Chen Zhou - 2009

Persistent link: https://www.econbiz.de/10003865271

Extreme value theory and the financial crisis of 2008

Gander, James P. - 2009

blind man. The approach is to treat prices as a random and independent variable and use extreme value theory to judge … 1 DEPARTMENT OF ECONOMICS WORKING PAPER SERIES Extreme Value Theory and the Financial Crisis …) 585-5649 http://www.econ.utah.edu 2 Extreme Value Theory and the Financial Crisis of 2008 James P. Gander …

Persistent link: https://www.econbiz.de/10003844122

Extremes of scale mixtures of multivariate time series

Ferreira, Helena; Ferreira, Marta - In: Journal of Multivariate Analysis 137 (2015) C, pp. 82-99

Factor models have large potential in the modeling of several natural and human phenomena. In this paper we consider a multivariate time series Yn, n≥1, rescaled through random factors Tn, n≥1, extending some scale mixture models in the literature. We analyze its extremal behavior by...

Persistent link: https://www.econbiz.de/10011263466