Search Results - subject:"Peaks over threshold"

A multiobjective optimization approach for threshold determination in extreme value analysis for financial time series

Chu, Carlin C. F.; Li, Simon S. W. - In: Computational management science 21 (2024) 1, pp. 1-14

Persistent link: https://www.econbiz.de/10014442615

Extreme value theory modelling of the behaviour of Johannesburg stock exchange financial market data

Metwane, Maashele Kholofelo; Maposa, Daniel - In: International Journal of Financial Studies : open … 11 (2023) 4, pp. 1-27

) exchange rate of the Johannesburg stock exchange (JSE). The study compares the block maxima approach and the peaks-over-threshold … and the USD-ZAR, respectively. For the peaks-over-threshold (POT) approach, the results show that the ALSTRI and the USD …

Persistent link: https://www.econbiz.de/10014484249

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

Modelling short- and long-term dependencies of clustered high-threshold exceedances in significant wave heights

Dissanayake, Pushpa; Flock, Teresa; Meier, Johanna; … - 2021

The peaks-over-threshold (POT) method has a long tradition in modelling extremes in environmental variables. However …

Persistent link: https://www.econbiz.de/10013178197

Estimating extreme cancellation rates in life insurance

Biagini, Francesca; Huber, Tobias; Jaspersen, Johannes G.; … - In: Journal of Risk and Insurance 88 (2021) 4, pp. 971-1000

This paper assesses the risk of a mass lapse event in life insurance. The rarity of the event and the complexity of policyholder behavior make the risk assessment of such a scenario difficult. Using a simulation study, we evaluate how different estimation methods can assess the risk of this...

Persistent link: https://www.econbiz.de/10012509543

Aplicando a teoria do valor extremo ao cálculo de risco de índices setoriais da B3

Bressan, Rafael Felipe; Souza, Daniel Augusto; … - In: Revista brasileira de economia de empresas 21 (2021) 1, pp. 65-86

Persistent link: https://www.econbiz.de/10013552584

Modelling short- and long-term dependencies of clustered high-threshold exceedances in significant wave heights

Dissanayake, Pushpa; Flock, Teresa; Meier, Johanna; … - 2021

The peaks-over-threshold (POT) method has a long tradition in modelling extremes in environmental variables. However …

Persistent link: https://www.econbiz.de/10012629924

Contributions to modeling extreme events on financial and electricity markets : [kumulative Dissertation]

Korniichuk, Volodymyr - 2013

Persistent link: https://www.econbiz.de/10010464305

Modeling Multivariate Extreme Events Using Self-Exciting Point Processes

Grothe, Oliver; Korniichuk, Volodymyr; Manner, Hans - Cologne Graduate School in Management, Economics and … - 2012

-varying dependence. The model is developed in the framework of the peaks-over-threshold approach in extreme value theory and relies on a …

Persistent link: https://www.econbiz.de/10010670833

Estimating Inflation-at-Risk (IaR) using Extreme Value Theory (EVT)

Santos, Edward P.; Mapa, Dennis S.; Glindro, Eloisa T. - Volkswirtschaftliche Fakultät, … - 2011

for building a model in estimating the IaR. The estimates of the IaR using the peaks-over-threshold (POT) model suggest …

Persistent link: https://www.econbiz.de/10008805029