Search Results - subject:"Generalised extreme value distribution"

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

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

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

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

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

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

Empirical analyses of extreme value models for the South African mining index

Chinhamu, Knowledge; Huang, Chun-Kai; Huang, Chun-Sung; … - In: The South African journal of economics 83 (2015) 1, pp. 41-55

Persistent link: https://www.econbiz.de/10011382028

The distribution of the extreme daily share returns in the Athens Stock Exchange

Tolikas, Konstantinos; Brown, Richard - 2006

Extreme Value Theory (EVT) methods are used to investigate the asymptotic distribution of the lower tail for daily returns in the Athens Stock Exchange (ASE) over the period 1986 to 2001. Overall, the Generalised Logistic (GL) distribution is found to provide adequate descriptions of the...

Persistent link: https://www.econbiz.de/10009463526

The distribution of the extreme daily share returns in the Athens stock exchange

Tolikas, Konstantinos; Brown, Richard - In: The European Journal of Finance 12 (2006) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10005471974