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  • Search: subject:"Generalised Extreme Value"
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Year of publication
Subject
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generalised extreme value distribution 6 Forecasting model 5 Prognoseverfahren 5 Statistical distribution 5 Statistische Verteilung 5 Ausreißer 4 Outliers 4 Risikomaß 4 Risk measure 4 Theorie 4 Theory 4 South Africa 3 Südafrika 3 extreme value theory 3 ARCH model 2 ARCH-Modell 2 Bayesian 2 Estimation theory 2 Extreme value theory 2 Generalised extreme value distribution 2 L-moments 2 Markov-Chain-Monte-Carlo 2 Markov-Switching models 2 Schätztheorie 2 Volatility 2 Volatilität 2 block minima 2 Aktienindex 1 Algorithm 1 Algorithmus 1 Anderson-Darling goodness of fit test 1 Arbeitslosigkeit 1 Bank 1 Bank risk 1 Bankrisiko 1 Bayes-Statistik 1 Bayesian inference 1 Bergbau 1 Binary generalised extreme value additive model 1 Börsenhandel 1
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Online availability
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Free 6 Undetermined 6 CC license 2
Type of publication
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Article 11 Book / Working Paper 3
Type of publication (narrower categories)
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Article in journal 8 Aufsatz in Zeitschrift 8 Article 1
Language
All
English 11 Undetermined 3
Author
All
Makatjane, Katleho 3 Brown, Richard 2 Calabrese, Raffaella 2 Harris, Mark 2 Moroke, Ntebogang Dinah 2 Tolikas, Konstantinos 2 Zhao, Xueyan 2 Bierlaire, Michel 1 Chikobvu, Delson 1 Chinhamu, Knowledge 1 Fosgerau, Mogens 1 Giudici, Paolo 1 Guthrie, Simon 1 Hammujuddy, Jahvaid 1 Huang, Chun-Kai 1 Huang, Chun-Sung 1 Jakata, Owen 1 Kostenko, Weiping 1 Lee, Maggie 1 Li, Jackie 1 Masilo, Bofelo Moemedi 1 McFadden, Daniel 1 Osmetti, Silvia Angela 1 Ramful, Preety 1 Zanin, Luca 1
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Institution
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Econometric Society 1 Melbourne Institute of Applied Economic and Social Research (MIAESR), Faculty of Business and Economics 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
Published in...
All
ASTIN bulletin : the journal of the International Actuarial Association 1 Econometric Society 2004 Australasian Meetings 1 Empirica : journal of european economics 1 International Journal of Energy Economics and Policy : IJEEP 1 International Journal of Financial Studies 1 International Journal of Financial Studies : open access journal 1 International journal of applied management science : IJAMS 1 Journal of forecasting 1 Journal of the Operational Research Society : OR 1 MPRA Paper 1 Melbourne Institute Working Paper Series 1 The European Journal of Finance 1 The South African journal of economics 1
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Source
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ECONIS (ZBW) 8 RePEc 4 BASE 1 EconStor 1
Showing 1 - 10 of 14
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Electricity demand forecasting of value-at-risk and expected shortfall : the South African context
Masilo, Bofelo Moemedi; Makatjane, Katleho - In: International Journal of Energy Economics and Policy : IJEEP 15 (2025) 1, pp. 481-489
Persistent link: https://www.econbiz.de/10015404066
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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
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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
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Extreme value modelling of the South African Industrial Index (J520) returns using the generalised extreme value distribution
Jakata, Owen; Chikobvu, Delson - In: International journal of applied management science : IJAMS 14 (2022) 4, pp. 299-315
Persistent link: https://www.econbiz.de/10014231227
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A double common factor model for mortality projection using best-performance mortality rates as reference
Li, Jackie; Lee, Maggie; Guthrie, Simon - In: ASTIN bulletin : the journal of the International … 51 (2021) 2, pp. 349-374
Persistent link: https://www.econbiz.de/10012523249
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The pyramid of Okun's coefficient for Italy
Zanin, Luca - In: Empirica : journal of european economics 45 (2018) 1, pp. 17-28
Persistent link: https://www.econbiz.de/10011965784
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Choice probability generating functions
Fosgerau, Mogens; McFadden, Daniel; Bierlaire, Michel - Volkswirtschaftliche Fakultät, … - 2010
This paper establishes that every random utility discrete choice model (RUM) has a representation that can be characterized by a choice-probability generating function (CPGF) with specific properties, and that every function with these specific properties is consistent with a RUM. The choice...
Persistent link: https://www.econbiz.de/10008493031
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Occupational Transition and Country-of-Origin Effects in the Early Stage Occupational Assimilation of Immigrants: Some Evidence from Australia
Kostenko, Weiping; Harris, Mark; Zhao, Xueyan - Melbourne Institute of Applied Economic and Social … - 2009
country. The empirical approach utilises the Ordered Generalised Extreme Value model which embodies differing utility …
Persistent link: https://www.econbiz.de/10005037645
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Improving forecast of binary rare events data : a GAM-based approach
Calabrese, Raffaella; Osmetti, Silvia Angela - In: Journal of forecasting 34 (2015) 3, pp. 230-239
Persistent link: https://www.econbiz.de/10011305247
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Estimating bank default with generalised extreme value regression models
Calabrese, Raffaella; Giudici, Paolo - In: Journal of the Operational Research Society : OR 66 (2015) 11, pp. 1783-1792
Persistent link: https://www.econbiz.de/10011418442
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