Search Results - subject:"block maxima"

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 (POT) approach in terms of their ability to model financial market data. The 100-year return levels for the block maxima … clear distinction between block maxima and POT return level estimates. The POT approach return level estimates were …

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

Extreme value modelling of the South African Industrial Index (J520) returns using the generalised extreme value distribution

Jakata, Owen; Chikobvu, Delson - In: International journal of applied management science : IJAMS 14 (2022) 4, pp. 299-315

Persistent link: https://www.econbiz.de/10014231227

Is gold still a safe haven for stock markets? : new insights through the tail thickness of portfolio return distributions

Echaust, Krzysztof; Just, Małgorzata - In: Research in international business and finance 63 (2022), pp. 1-19

Persistent link: https://www.econbiz.de/10014248962

Predicting Malaysian palm oil price using Extreme Value Theory

Chuangchid, Kantaporn; Sriboonchitta, Songsak; Rahman, … - In: International Journal of Agricultural Management 02 (2013) 2

Block Maxima (BM) and Peak-Over- Threshold (POT) models â€“ were used. Both models revealed that the palm oil price will …

Persistent link: https://www.econbiz.de/10011143512

Improving Modeling of Extreme Events using Generalized Extreme Value Distribution or Generalized Pareto Distribution with Mixing Unconditional Disturbances

Suarez, Ronny - Volkswirtschaftliche Fakultät, … - 2009

upper bound of the confidence interval for the Block Maxima and the Peak-Over Threshold approaches with Mixing Unconditional …

Persistent link: https://www.econbiz.de/10008528728

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

Improving Modeling of Extreme Events using Generalized Extreme Value Distribution or Generalized Pareto Distribution with Mixing Unconditional Disturbances

Suarez, R - Volkswirtschaftliche Fakultät, … - 2001

upper bound of the confidence interval for the Block Maxima and the Peak-Over Threshold approaches with Mixing Unconditional …

Persistent link: https://www.econbiz.de/10008528731

Predictive performance of conditional Extreme Value Theory in Value-at-Risk estimation

Ghorbel, Ahmed; Trabelsi, Abdelwahed - In: International Journal of Monetary Economics and Finance 1 (2008) 2, pp. 121-148

the Block Maxima (BM). We apply both unconditional and conditional EVT models to management of extreme market risks in … extreme VaR quantiles. The conditional block maxima EVT method is less accurate. …

Persistent link: https://www.econbiz.de/10005543991

Predictive performance of conditional Extreme Value Theory in Value-at-Risk estimation

Ghorbel, Ahmed; Trabelsi, Abdelwahed - In: International Journal of Monetary Economics and Finance 1 (2008) 2, pp. 121-148

Persistent link: https://www.econbiz.de/10008538659