Search Results - subject:"Tail behavior"

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Testing extreme warming and geographical heterogeneity

Gadea, María Dolores; Gonzalo, Jesús; Olmo, Jose - 2024

Persistent link: https://www.econbiz.de/10015395810

Comparing multivariate distributions : a novel approach using optimal transport-based plots

Singha, Sibsankar; Kratz, Marie; Vadlamani, Sreekar - 2024

Persistent link: https://www.econbiz.de/10014545370

Black swans or dragon kings? A simple test for deviations from the power law

Janczura, Joanna; Weron, Rafal - Hugo Steinhaus Center for Stochastic Methods, … - 2011

We develop a simple test for deviations from power law tails, which is based on the asymptotic properties of the empirical distribution function. We use this test to answer the question whether great natural disasters, financial crashes or electricity price spikes should be classified as dragon...

Persistent link: https://www.econbiz.de/10009323909

Tail Behavior of the Central European Stock Markets during the Financial Crisis

Baruník, Jozef; Vacha, Lukas; Vošvrda, Miloslav - In: Czech Economic Review 4 (2010) 3, pp. 281-294

its tail behavior. As the estimation of the tail exponent is very sensitive to the size of the data set, the estimates can …In the paper we research statistical properties of the Central European stock markets. We focus mainly on the tail … behavior of the Czech, Polish, and Hungarian stock markets and compare them to the benchmark U.S. and German stock markets. We …

Persistent link: https://www.econbiz.de/10008727383

Tail Behavior of the Central European Stock Markets during the Financial Crisis

Barunik, Jozef; Vacha, Lukas; Vosvrda, Miloslav - Institut ekonomických studií, Univerzita Karlova v Praze - 2010

Persistent link: https://www.econbiz.de/10008541279

Tail behavior of the Central European Stock markets during the financial crisis

Baruník, Jozef; Vácha, Lukáš; Vošvrda, Miloslav - 2010

Persistent link: https://www.econbiz.de/10010322236

Extremal behavior of stochastic volatility models

Fasen, Vicky; Klüppelberg, Claudia; Lindner, Alexander M. - 2005

Empirical volatility changes in time and exhibits tails, which are heavier than normal. Moreover, empirical volatility has - sometimes quite substantial - upwards jumps and clusters on high levels. We investigate classical and nonclassical stochastic volatility models with respect to their...

Persistent link: https://www.econbiz.de/10010275679

Extremal behavior of finite EGARCH processes

Lindner, Alexander M.; Meyer, Katharina M. M. - 2003

Extreme value theory for a class of EGARCH processes is developed. It is shown that the EGARCH process as well as the logarithm of its conditional variance lie in the domain of attraction of the Gumbel distribution. Norming constants are obtained and it is shown that the considered processes...

Persistent link: https://www.econbiz.de/10010266138