Search Results - subject:"Peaks-over-threshold"

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

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

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

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

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

Tempered pareto-type modelling using Weibull distributions

Albrecher, Hansjörg; Araujo Acuna, José Carlos; … - In: ASTIN bulletin : the journal of the International … 51 (2021) 2, pp. 509-538

Persistent link: https://www.econbiz.de/10012523254

Assessing the importance of the choice threshold in quantifying market risk under the POT approach (EVT)

Benito, Sonia; López-Martín, Carmen; Navarro, Mª Ángeles - In: Risk management : an international journal 25 (2023) 1, pp. 1-31

Persistent link: https://www.econbiz.de/10013490818

Volatility analysis for the GARCH-Itô-Jumps model based on high-frequency and low-frequency financial data

Fu, Jin-Yu; Lin, Jin-Guan; Hao, Hong-Xia - In: International journal of forecasting 39 (2023) 4, pp. 1698-1712

Persistent link: https://www.econbiz.de/10014465345