Search Results - subject:"Extreme value theory"

A parametric alternative to the Hill estimator for heavy-tailed distributions

Kim, Joseph H.T.; Kim, Joocheol - In: Journal of Banking & Finance 54 (2015) C, pp. 60-71

Despite its wide use, the Hill estimator and its plot remain to be difficult to use in Extreme Value Theory (EVT) due …

Persistent link: https://www.econbiz.de/10011264655

Likelihood inference for generalized Pareto distribution

Castillo, Joan del; Serra, Isabel - In: Computational Statistics & Data Analysis 83 (2015) C, pp. 116-128

A new methodological approach that enables the use of the maximum likelihood method in the Generalized Pareto Distribution is presented. Thus several models for the same data can be compared under Akaike and Bayesian information criteria. The view is based on a detailed theoretical study of the...

Persistent link: https://www.econbiz.de/10011117695

Value at Risk of the main stock market indexes in the European Union (2000–2012)

Iglesias, Emma M. - In: Journal of Policy Modeling 37 (2015) 1, pp. 1-13

We analyze extreme movements of the main stocks market indexes in the European Union. We find that the Sweden and UK markets are the preferred ones for risk averse investors since they present the best risk-return performance. Moreover, the UK market is found to have a very low dependence with...

Persistent link: https://www.econbiz.de/10011209143

Extremes of random variables observed in renewal times

Basrak, Bojan; Špoljarić, Drago - In: Statistics & Probability Letters 97 (2015) C, pp. 216-221

We use point processes theory to describe the asymptotic distribution of all upper order statistics for observations collected at renewal times. As a corollary, we obtain limiting theorems for corresponding extremal processes.

Persistent link: https://www.econbiz.de/10011189354

Modeling the distribution of extreme returns in the Chinese stock market

Hussain, Saiful Izzuan; Li, Steven - In: Journal of International Financial Markets, … 34 (2015) C, pp. 263-276

(SSE) Composite Index. Three well-known distributions in extreme value theory, i.e., Generalized Extreme Value (GEV …

Persistent link: https://www.econbiz.de/10011189475

Asymptotic results for conditional measures of association of a random sum

Asimit, Alexandru V.; Chen, Yiqing - In: Insurance: Mathematics and Economics 60 (2015) C, pp. 11-18

Asymptotic results are obtained for several conditional measures of association. The chosen random variables are the first two order statistics and the total sum within a random sum. Many of the results have confirmed the “one-jump” property of the risk model. Non-trivial limits are...

Persistent link: https://www.econbiz.de/10011190011

Speed of convergence for laws of rare events and escape rates

Freitas, Ana Cristina Moreira; Freitas, Jorge Milhazes; … - In: Stochastic Processes and their Applications 125 (2015) 4, pp. 1653-1687

We obtain error terms on the rate of convergence to Extreme Value Laws, and to the asymptotic Hitting Time Statistics, for a general class of weakly dependent stochastic processes. The dependence of the error terms on the ‘time’ and ‘length’ scales is very explicit. Specialising to data...

Persistent link: https://www.econbiz.de/10011194124

Extremal behavior of squared Bessel processes attracted by the Brown–Resnick process

Das, Bikramjit; Engelke, Sebastian; Hashorva, Enkelejd - In: Stochastic Processes and their Applications 125 (2015) 2, pp. 780-796

The convergence of properly time-scaled and normalized maxima of independent standard Brownian motions to the Brown–Resnick process is well-known in the literature. In this paper, we study the extremal functional behavior of non-Gaussian processes, namely squared Bessel processes and scalar...

Persistent link: https://www.econbiz.de/10011194127

Identifying extreme values of exchange market pressure

Karimi, Mohammad; Voia, Marcel - In: Empirical Economics 48 (2015) 3, pp. 1055-1078

are more appropriate when applying extreme value theory (EVT). Our results recommend researchers to be more cautious when …

Persistent link: https://www.econbiz.de/10011240952

Evaluating the Default Risk of Bond Portfolios with Extreme Value Theory

Ma, Yong; Zhang, Zhengjun; Zhang, Weiguo; Xu, Weidong - In: Computational Economics 45 (2015) 4, pp. 647-668

evaluate the default risk of bond portfolios by applying extreme value theory. Based on Black and Cox default approach, we … propose a novel threshold default model and use extreme value theory to derive the distribution functions of the state …. According to multivariate extreme value theory, extreme value copula is applicable to build the dependence between the state …

Persistent link: https://www.econbiz.de/10011242016