Search Results - subject:"extreme value distributions"

The concentration of power in the market for contemporary art: an empirical analysis of ArtReview’s “Power 100”

Prinz, Aloys Leo - In: SN Business & Economics 2 (2022) 1

Art experts and intermediaries play a crucial role in art markets. Artworks are goods whose quality is difficult to determine. Therefore, it seems necessary to restrict competition in the market for art experts to a certain extent, but not too much, in order to provide high-quality know-how....

Persistent link: https://www.econbiz.de/10015210611

A New Inequality Measure that is Sensitive to Extreme Values and Asymmetries

McAleer, Michael; Ryu, Hang K.; Slottje, Daniel J. - 2017

There is a vast literature on the selection of an appropriate index of income inequality and on what desirable properties such a measure (or index) should contain. The Gini index is, of course, the most popular. There is a concurrent literature on the use of hypothetical statistical...

Persistent link: https://www.econbiz.de/10011819495

A new inequality measure that is sensitive to extreme values and asymmetries

McAleer, Michael; Ryu, Hang-keun; Slottje, Daniel Jonathan - 2017

Persistent link: https://www.econbiz.de/10011773015

Risk or regulatory capital? : bringing distributions back in the foreground

Guégan, Dominique; Hassani, Bertrand - 2015

Persistent link: https://www.econbiz.de/10011635443

Interventions and expected exchange rates in emerging market economies

García-Verdú, Santiago; Ramos-Francia, Manuel - 2014

We study variations in the risk-neutral distributions of the exchange rates in Brazil, Chile, Colombia, Mexico, and Peru due to interventions implemented by these countries. For this purpose, we first estimate the risk-neutral densities of the exchange rates based on derivatives market data, for...

Persistent link: https://www.econbiz.de/10010392374

Financial Tail Risks and the Shapes of the Extreme Value Distribution: A Comparison between Conventional and Sharia-Compliant Stock Indexes

Mwamba, John W. Muteba; Hammoudeh, Shawkat; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2014

This paper makes use of two types of extreme value distributions, namely: the generalised extreme value distribution …) method and the bootstrap simulations to estimate the parameters of these extreme value distributions, we find a significant … often referred to as the block of maxima method (BMM), and the peak-over-threshold method (POT) of the extreme value …

Persistent link: https://www.econbiz.de/10011105045

Interventions and expected exchange rates in emerging market economies

García-Verdú, Santiago; Ramos-Francia, Manuel - 2014

Persistent link: https://www.econbiz.de/10010370897

Bayesian operational risk models

Figini, Silvia; Gao, Lijun; Giudici, Paolo - Dipartimento di Scienze Economiche e Aziendali, … - 2013

Operational risk is hard to quantify, for the presence of heavy tailed loss distributions. Extreme value distributions …

Persistent link: https://www.econbiz.de/10010842826

Extreme Volatilities, Financial Crises and L-moment Estimations of Tail-indexes

Maillet, Bertrand B.; Médecin, Jean-Philippe R. - Dipartimento di Economia, Università Ca' Foscari Venezia - 2010

Following Bali and Weinbaum (2005) and Maillet et al. (2010), we present several estimates of volatilities computed with high- and low frequency data and complement their results using additional measures of risk and several alternative methods for Tail-index estimation. The aim here is to...

Persistent link: https://www.econbiz.de/10008460813

Extreme Value Theory and its Applications to Financial Risk Management

Tsevas, G.; Panaretos, John - Volkswirtschaftliche Fakultät, … - 1998

The phenomenon of high volatility in financial markets stemming from the increased complexity of financial instruments traded, as well as the evidence of losses due to natural and man-made catastrophes, highlight the need for sophisticated risk management practices. The analysis concerning the...

Persistent link: https://www.econbiz.de/10005619390