Search Results - subject:"extreme value theory"

Radojković, Ivan D.; Radović, Ognjen V.; Stevanović, … - In: Ekonomske teme 62 (2024) 4, pp. 541-560

applies the Extreme Value Theory (EVT) using the Generalized Pareto Distribution (GPD) to model the extreme events in the …

Persistent link: https://www.econbiz.de/10015433377

Makatjane, Katleho; Mmelesi, Kesaobaka - In: Journal of applied economics 27 (2024) 1, pp. 1-30

Statistical-based predictions with extreme value theory improve the performance of the risk model not by choosing the …

Persistent link: https://www.econbiz.de/10015196332

Einmahl, John H. J.; Chen Zhou - 2024

Persistent link: https://www.econbiz.de/10014467520

Nunes, Joaõ Pedro Vidal; Ruas, João Pedro - In: Finance research letters 59 (2024), pp. 1-8

Persistent link: https://www.econbiz.de/10014445402

Ngo, Phong T. H.; Puente-Moncayo, Diego L. - In: Journal of financial and quantitative analysis : JFQA 59 (2024) 2, pp. 863-895

Persistent link: https://www.econbiz.de/10014520129

Ning, Cathy Q.; Ponrajah, Jeremey - 2024

Persistent link: https://www.econbiz.de/10015052590

D'Innocenzo, Enzo; Lucas, André; Schwaab, Bernd; Zhang, Xin - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 3, pp. 903-917

Persistent link: https://www.econbiz.de/10015053506

Siburg, Karl Friedrich; Strothmann, Christopher; Weiß, … - In: Insurance : mathematics and economics 118 (2024), pp. 95-103

Persistent link: https://www.econbiz.de/10015067023

Daouia, Abdelaati; Stupfler, Gilles; Usseglio-Carleve, … - 2024

Persistent link: https://www.econbiz.de/10015097279

Krężołek, Dominik; Piontek, Krzysztof - In: Statistics in transition : an international journal of … 25 (2024) 2, pp. 1-22

volatility and models based on the extreme value theory (EVT). ES forecasts were calculated for conditional APARCH models formed …

Persistent link: https://www.econbiz.de/10015125518

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