Search Results - subject:"Generalized Extreme Value"

Interventions and expected exchange rates in emerging market economies

García-Verdú, Santiago; Ramos-Francia, Manuel - 2014

We study variations in the risk-neutral distributions of the exchange rates in Brazil, Chile, Colombia, Mexico, and Peru due to interventions implemented by these countries. For this purpose, we first estimate the risk-neutral densities of the exchange rates based on derivatives market data, for...

Persistent link: https://www.econbiz.de/10010392374

Interventions and expected exchange rates in emerging market economies

García-Verdú, Santiago; Ramos-Francia, Manuel - 2014

Persistent link: https://www.econbiz.de/10010370897

A simple procedure for the calculation of the covariances of any Generalized Extreme Value model

Marzano, Vittorio - In: Transportation Research Part B: Methodological 70 (2014) C, pp. 151-162

This paper illustrates a simple procedure for calculating the covariances underlying any Generalized Extreme Value (GEV …

Persistent link: https://www.econbiz.de/10011077936

Statistical modelling of recent changes in extreme rainfall in Taiwan

Lan Fen Chu; McAleer, Michael; Wang, Szu-Hua - 2013

Persistent link: https://www.econbiz.de/10009724146

Volatility modeling of real Gdp growth rates in South Africa

Sigauke, Caston - In: Economics, management and financial markets 8 (2013) 2, pp. 81-84

Persistent link: https://www.econbiz.de/10011542998

An empirical study of uniform and differential pricing in the movie theatrical market

Ho, Jason Y. C.; Liang, Yitian; Weinberg, Charles B.; … - In: Journal of marketing research : JMR 55 (2018) 3, pp. 414-431

Persistent link: https://www.econbiz.de/10011878752

Sharp bounds on change in expected values and variances for single risk analysis in the flood catastrophe model

Miziuła, Patryk; Solnický, Radek - In: Scandinavian actuarial journal (2018) 1, pp. 64-75

Persistent link: https://www.econbiz.de/10011880808

Multiproduct pricing under the generalized extreme value models with homogeneous price sensitivity parameters

Zhang, Heng; Rusmevichientong, Paat; Topaloğlu, Hüseyin - In: Operations research 66 (2018) 6, pp. 1559-1570

Persistent link: https://www.econbiz.de/10011971660

Modeling maxima with autoregressive conditional Fréchet model

Zhao, Zifeng; Zhang, Zhengjun; Chen, Rong - In: Journal of econometrics 207 (2018) 2, pp. 325-351

Persistent link: https://www.econbiz.de/10012116357

Poisson-driven stationary Markov models

Anzarut, Michelle; Mena, Ramsés H.; Nava, Consuelo Rubina - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 4, pp. 684-694

Persistent link: https://www.econbiz.de/10012249233

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