Search Results - subject:"Extreme-value distribution"

Forecasting the VaR of the crude oil market : a combination of mixed data sampling and extreme value theory

Lyu, Yongjian; Qin, Fanshu; Ke, Rui; Yang, Mo; Chang, … - In: Energy economics 133 (2024), pp. 1-10

Persistent link: https://www.econbiz.de/10015049483

Modelling maximum cyber incident losses of German organisations: an empirical study and modified extreme value distribution approach

von Skarczinski, Bennet; Raschke, Mathias; Teuteberg, Frank - In: The Geneva Papers on Risk and Insurance - Issues and … 48 (2023) 2, pp. 463-501

Cyber incidents are among the most critical business risks for organisations and can lead to large financial losses. However, previous research on loss modelling is based on unassured data sources because the representativeness and completeness of op-risk databases cannot be assured. Moreover,...

Persistent link: https://www.econbiz.de/10015165518

Modelling maximum cyber incident losses of German organisations : an empirical study and modified extreme value distribution approach

Skarczinski, Bennet von; Raschke, Mathias; Teuteberg, Frank - In: The Geneva papers on risk and insurance - issues and … 48 (2023) 2, pp. 463-501

Persistent link: https://www.econbiz.de/10014326501

Bootstrapping time-varying uncertainty intervals for extreme daily return periods

Makatjane, Katleho - In: International Journal of Financial Studies 10 (2022) 1, pp. 1-23

score-generalized extreme value distribution (SARIMA-GAS-GEVD) with a skewed student-t distribution had the best prediction …

Persistent link: https://www.econbiz.de/10013200409

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

score-generalized extreme value distribution (SARIMA-GAS-GEVD) with a skewed student-t distribution had the best prediction …

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

Predicting extreme daily regime shifts in financial time series exchange/Johannesburg stock exchange: All share index

Makatjane, Katleho; Moroke, Ntebogang Dinah - In: International Journal of Financial Studies 9 (2021) 2, pp. 1-18

heteroscedasticity-generalised extreme value distribution (SARIMA-MS-EGARCH-GEVD) estimates. A time series of the study is a five …

Persistent link: https://www.econbiz.de/10013200343

Nonparametric estimation of extreme quantiles with an application to longevity risk

Bolancé, Catalina; Guillén, Montserrat - In: Risks 9 (2021) 4, pp. 1-23

A new method to estimate longevity risk based on the kernel estimation of the extreme quantiles of truncated age-at-death distributions is proposed. Its theoretical properties are presented and a simulation study is reported. The flexible yet accurate estimation of extreme quantiles of...

Persistent link: https://www.econbiz.de/10013200745

Nonparametric estimation of extreme quantiles with an application to longevity risk

Bolancé, Catalina; Guillén, Montserrat - In: Risks : open access journal 9 (2021) 4, pp. 1-23

Persistent link: https://www.econbiz.de/10012508762

Predicting extreme daily regime shifts in financial time series exchange/Johannesburg stock exchange : all share index

Makatjane, Katleho; Moroke, Ntebogang Dinah - In: International Journal of Financial Studies : open … 9 (2021) 2, pp. 1-18

heteroscedasticity-generalised extreme value distribution (SARIMA-MS-EGARCH-GEVD) estimates. A time series of the study is a five …

Persistent link: https://www.econbiz.de/10012508859

Capturing information in extreme events

Ardakani, Omid M. - In: Economics letters 231 (2023), pp. 1-5

Persistent link: https://www.econbiz.de/10014461218