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  • Search: subject:"Generalised Pareto Distribution"
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Year of publication
Subject
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Ausreißer 4 Outliers 4 Statistical distribution 4 Statistische Verteilung 4 Generalised Pareto Distribution 3 Risiko 3 Risikomaß 3 Risk 3 Risk measure 3 Theorie 3 Theory 3 generalised Pareto distribution 3 Exchange rate 2 Extreme Value Theory 2 Pareto efficiency 2 Pareto-Optimum 2 South Africa 2 Südafrika 2 Wechselkurs 2 extreme value theory 2 peak over threshold 2 Aktienindex 1 Bayes-Statistik 1 Bayesian 1 Bayesian inference 1 BitCoin 1 Currency crisis 1 Devisenmarkt 1 Electricity 1 Elektrizität 1 Estimation 1 Exchange rate risk 1 Forecasting model 1 Foreign exchange market 1 GARCH models 1 Healthcare cost data 1 Hill estimate 1 Kenia 1 Kenya 1 Markov-chain-Monte-Carlo 1
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Online availability
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Free 7 CC license 2
Type of publication
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Article 4 Book / Working Paper 3
Type of publication (narrower categories)
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Article in journal 4 Aufsatz in Zeitschrift 4
Language
All
English 5 Undetermined 2
Author
All
Chikobvu, Delson 2 Boer, Pieter-Henk 1 Brooks, Chris 1 Chanza, Martin 1 Clare, Andrew D. 1 Conigliani, Caterina 1 Hall, Peter 1 Jakata, Owen 1 Makatjane, Katleho 1 Mhlanga, Issaah A. 1 Munapo, Elias 1 Ndlovu, Thabani 1 Peng, Liang 1 Persand, Gita 1 Tancredi, Andrea 1 Yao, Qiwei 1
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Institution
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Dipartimento di Economia, Università degli Studi di Roma 3 1 Henley Business School, University of Reading 1 London School of Economics (LSE) 1
Published in...
All
Journal of economic and financial sciences : JEF 2 Departmental Working Papers of Economics - University 'Roma Tre' 1 ICMA Centre Discussion Papers in Finance 1 International Journal of Energy Economics and Policy : IJEEP 1 LSE Research Online Documents on Economics 1 Risks : open access journal 1
Source
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ECONIS (ZBW) 4 RePEc 3
Showing 1 - 7 of 7
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The generalised pareto distribution model approach to comparing extreme risk in the exchange rate risk of BitCoin/US Dollar and South African Rand/US Dollar Returns
Ndlovu, Thabani; Chikobvu, Delson - In: Risks : open access journal 11 (2023) 6, pp. 1-16
investigation as to which of the two currencies is riskier. In this paper, the Generalised Pareto Distribution (GPD) model is …
Persistent link: https://www.econbiz.de/10014334466
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Forecasting uncertainty intervals for return period of extreme daily electricity consumption
Makatjane, Katleho - In: International Journal of Energy Economics and Policy : IJEEP 12 (2022) 4, pp. 217-225
Persistent link: https://www.econbiz.de/10013366091
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Exchange market pressure in South Africa and Kenya : an analysis using parametric and non-parametric extreme value theory
Boer, Pieter-Henk; Munapo, Elias; Chanza, Martin; … - In: Journal of economic and financial sciences : JEF 12 (2019) 1, pp. 1-15
Persistent link: https://www.econbiz.de/10012018969
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Modelling extreme risk of the financial index (J580) using the general Pareto distribution
Jakata, Owen; Chikobvu, Delson - In: Journal of economic and financial sciences : JEF 12 (2019) 1, pp. 1-7
Persistent link: https://www.econbiz.de/10012018994
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Semi-parametric modelling for costs of helt care technologies
Conigliani, Caterina; Tancredi, Andrea - Dipartimento di Economia, Università degli Studi di Roma 3 - 2003
Persistent link: https://www.econbiz.de/10005405037
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Moving-maximum models for extrema of time series
Hall, Peter; Peng, Liang; Yao, Qiwei - London School of Economics (LSE) - 2002
We discuss moving-maximum models, based on weighted maxima of independent random variables, for extreme values from a time series. The models encompass a range of stochastic processes that are of interest in the context of extreme-value data. We show that a stationary stochastic process whose...
Persistent link: https://www.econbiz.de/10011126665
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An EVT Approach to calculating Risk Capital Requirements
Brooks, Chris; Persand, Gita; Clare, Andrew D. - Henley Business School, University of Reading - 2000
Generalised Pareto Distribution and smaller risks are captured by the empirical distribution function. We compare the capital …
Persistent link: https://www.econbiz.de/10005357665
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