Search Results - subject:"generalized extreme value distribution"

Bootstrapping time-varying uncertainty intervals for extreme daily return periods

Makatjane, Katleho - In: International Journal of Financial Studies 10 (2022) 1, pp. 1-23

score-generalized extreme value distribution (SARIMA-GAS-GEVD) with a skewed student-t distribution had the best prediction …

Persistent link: https://www.econbiz.de/10013200409

Bootstrapping time-varying uncertainty intervals for extreme daily return periods

Makatjane, Katleho - In: International Journal of Financial Studies : open … 10 (2022) 1, pp. 1-23

score-generalized extreme value distribution (SARIMA-GAS-GEVD) with a skewed student-t distribution had the best prediction …

Persistent link: https://www.econbiz.de/10012804913

Closed form solutions for the generalized extreme value distribution

Beckert, Walter; Takahashi, Yuya - 2015

Persistent link: https://www.econbiz.de/10011343428

Volatility modeling of real Gdp growth rates in South Africa

Sigauke, Caston - In: Economics, management and financial markets 8 (2013) 2, pp. 81-84

Persistent link: https://www.econbiz.de/10011542998

Generalized Extreme Value Distribution with Time-Dependence Using the AR and MA Models in State Space Form

Nakajima, Jouchi; Kunihama, Tsuyoshi; Omori, Yasuhiro; … - Institute for Monetary and Economic Studies, Bank of Japan - 2009

extreme value distribution is extended to incorporate the time-dependence using a state space representation where the state …A new state space approach is proposed to model the time- dependence in an extreme value process. The generalized …

Persistent link: https://www.econbiz.de/10008471749

Extreme Value Theory for Tail-Related Risk Measures

Këllezi, Evis; Gilli, Manfred - Swiss Finance Institute - 2000

estimate the generalized extreme value distribution (GEV). Figure 14 plots the yearly minima and maxima of our daily returns …

Persistent link: https://www.econbiz.de/10005264596