Search Results - subject:"Generalized Extreme Value"

Submodularity and local search approaches for maximum capture problems under generalized extreme value models

Tien Thanh Dam; Thuy Anh Ta; Tien Mai - In: European journal of operational research : EJOR 300 (2022) 3, pp. 953-965

Persistent link: https://www.econbiz.de/10013207316

European option pricing using Gumbel distribution

Purohit, Seema Uday; Lalit, Prasad Narahar - In: International journal of financial engineering 9 (2022) 1, pp. 1-11

Persistent link: https://www.econbiz.de/10013188781

Liquidation, leverage and optimal margin in bitcoin futures markets

Cheng, Zhiyong; Deng, Jun; Wang, Tianyi; Yu, Mei - In: Applied economics 53 (2021) 47, pp. 5415-5428

Persistent link: https://www.econbiz.de/10012626891

Predicting the tail behavior of financial times stock exchange/Johannesburg Stock Exchange (FTSE/JSE) closing banking indices : extreme value theory approach

Makatjane, Katleho; Moroke, Ntebogang Dinah; Munapo, Elias - In: Handbook of research on emerging theories, models, and …, (pp. 31-64). 2021

better distribution than the generalized extreme value (GEV) in estimating extreme loses and that the computation of economic …

Persistent link: https://www.econbiz.de/10012604174

Extreme value theory for operational risk in insurance : a case study

Vyskočil, Michal; Koudelka, Jiří - In: The journal of operational risk 16 (2021) 4, pp. 1-26

Persistent link: https://www.econbiz.de/10013177451

Predicting Federal Funds Rate Using Extreme Value Theory

Dey, Ashim Kumar; Das, Kumer Pial - In: Stochastics and Quality Control 35 (2020) 1, pp. 1-15

Abstract The extreme value theory (EVT) is used to assess the risk of extreme events caused by natural calamities or untoward circumstances in the social and economic sectors. The theory can be used to study the frequency of rare events and to build up a predictive model so that one can attempt...

Persistent link: https://www.econbiz.de/10014591045

Triage as a core sorting strategy in extreme core arrival scenarios

Gavidel, Saeed Z.; Rickli, J. L. - In: Journal of Remanufacturing 5 (2015) 9, pp. 1-13

statistical model of extreme core arrivals is developed based on Extreme Value (EV) theory and related Generalized Extreme Value …

Persistent link: https://www.econbiz.de/10011615725

Closed form solutions for the generalized extreme value distribution

Beckert, Walter; Takahashi, Yuya - 2015

Persistent link: https://www.econbiz.de/10011343428

Triage as a core sorting strategy in extreme core arrival scenarios

Gavidel, Saeed Z.; Rickli, J. L. - In: Journal of remanufacturing 5 (2015) 9, pp. 1-13

statistical model of extreme core arrivals is developed based on Extreme Value (EV) theory and related Generalized Extreme Value …

Persistent link: https://www.econbiz.de/10011570068

Mortgage default decisions in the presence of non-normal, spatially dependent disturbances

Calabrese, Raffaella; McCollum, Meagan N.; Pace, R. Kelley - In: Regional science & urban economics 76 (2019), pp. 103-114

Persistent link: https://www.econbiz.de/10012267362