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

An extreme value analysis of the tail relationships between returns and volumes for high frequency cryptocurrencies

Chan, Stephen; Chu, Jeffrey; Zhang, Yuanyuan; … - In: Research in international business and finance 59 (2022), pp. 1-13

Persistent link: https://www.econbiz.de/10013402146

Exchange market pressure in India

Guru, Anuradha; Sarma, Mandira - In: Macroeconomics and finance in emerging market economies 10 (2017) 1/3, pp. 68-87

Persistent link: https://www.econbiz.de/10011904804

Tail relation between return and volume in the US stock market : an analysis based on extreme value theory

Longin, François M.; Pagliardi, Giovanni - In: Economics letters 145 (2016), pp. 252-254

Persistent link: https://www.econbiz.de/10011618837

Estimating a bivariate tail: A copula based approach

Di Bernardino, Elena; Maume-Deschamps, Véronique; … - In: Journal of Multivariate Analysis 119 (2013) C, pp. 81-100

general extension of the POT (peaks-over-threshold) method, mainly based on a two-dimensional version of the Pickands …

Persistent link: https://www.econbiz.de/10010678851

Extreme value theory in emerging markets : evidence from the Montenegrin stock exchange

Cerovic Smolovic, Julija; Karadžić, Vesna - In: Economic annals 60 (2015) 206, pp. 87-116

Persistent link: https://www.econbiz.de/10011421685

On the Loss of Information Due to Nonrandom Truncation

Falk, Michael; Marohn, Frank - In: Journal of Multivariate Analysis 72 (2000) 1, pp. 1-21

for locally asymptotically Gaussian experiments. When applied to extreme value models, this approach generalizes the peaks-over-threshold … method for modeling the exceedances over high thresholds in an iid sample. …

Persistent link: https://www.econbiz.de/10005199695