Search Results - subject:"Generalized Extreme Value"

Option Pricing and the Implied Tail Index with the Generalized Extreme Value (GEV) Distribution

Markose, Sheri; Alentorn, Amadeo - Society for Computational Economics - SCE - 2005

the case of lognormal models. This paper argues that the use of the Generalized Extreme Value Distribution (GEV) for asset …

Persistent link: https://www.econbiz.de/10005343048

Testing for differences in the tails of stock-market returns

ROCKINGER, Michael; JONDEAU, Eric - HEC Paris (École des Hautes Études Commerciales) - 2001

In this paper, we use a database consisting of daily stock-returns for 20 countries to test for similarities between the left and right tail of returns as well as for cross-sectional differences. To mitigate the issue of dependency between stock returns, we estimate the distribution of extremes...

Persistent link: https://www.econbiz.de/10005011669

On the characterization of generalized extreme value, power function, generalized Pareto and classical Pareto distributions by conditional expectation of record values

Wu, Jong-Wuu; Lee, Wen-Chuan - In: Statistical Papers 42 (2001) 2, pp. 225-242

Persistent link: https://www.econbiz.de/10005615812

Maximum likelihood parameter estimation by model augmentation with applications to the extended four-parameter generalized gamma distribution

Hirose, Hideo - In: Mathematics and Computers in Simulation (MATCOM) 54 (2000) 1, pp. 81-97

-parameter generalized extreme-value distribution which includes the two-parameter Gumbel distribution. These relationships allow us to …

Persistent link: https://www.econbiz.de/10010749641