Search Results - subject:"generalized extreme value distribution"

The calibration of market risk measures during period of economic downturn : market risks and measures

Muteba Mwamba, John - In: Risk management, strategic thinking and leadership in …, (pp. 89-102). 2017

Persistent link: https://www.econbiz.de/10011597231

Bankruptcy prediction of small and medium enterprises using a flexible binary generalized extreme value model

Calabrese, Raffaella; Marra, Giampiero; Osmetti, Silvia … - In: Journal of the Operational Research Society : OR 67 (2016) 4, pp. 604-615

Persistent link: https://www.econbiz.de/10011516598

Semi-parametric method for estimating tail related risk measures in the stock market

Lee, Ho Jin - In: The Korean economic review 32 (2016) 2, pp. 295-329

Persistent link: https://www.econbiz.de/10011649371

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

Commodity market risk from 1995 to 2013 : an extreme value theory approach

Fretheim, Torun; Kristiansen, Glenn - In: Applied economics 47 (2015) 25/27, pp. 2768-2782

Persistent link: https://www.econbiz.de/10010519613

Extreme value analysis for emerging African markets

Nadarajah, Saralees; Chan, Stephen; Afuecheta, Emmanuel - In: Quality & Quantity: International Journal of Methodology 48 (2014) 3, pp. 1347-1360

For the first time, an extreme value analysis is provided for financial data from Africa. The results of analysis show evidence of emerging economies in Africa. Copyright Springer Science+Business Media Dordrecht 2014

Persistent link: https://www.econbiz.de/10010843941

Modified maximum spacings method for generalized extreme value distribution and applications in real data analysis

Huang, Chao; Lin, Jin-Guan - In: Metrika 77 (2014) 7, pp. 867-894

data based on generalized extreme value distribution. A new estimation method, modified maximum spacings (MSP) method, is …

Persistent link: https://www.econbiz.de/10010938229

Analysis of extreme ground snow loads for Canada using snow depth records

Hong, H.; Ye, W. - In: Natural Hazards 73 (2014) 2, pp. 355-371

snow depth data. Both the Gumbel distribution and generalized extreme value distribution were used to fit the annual …

Persistent link: https://www.econbiz.de/10010995731

Quantifying uncertainties associated with depth duration frequency curves

Mirzaei, Majid; Huang, Yuk; Lee, Teang; El-Shafie, Ahmed; … - In: Natural Hazards 71 (2014) 2, pp. 1227-1239

rainfall depths from 4 stations in the Zayanderood basin, Iran, were analysed, and a generalized extreme value distribution was …

Persistent link: https://www.econbiz.de/10010995976

Option implied tail index and volatility based on heavy-tailed distributions : evidence from KOSPI 200 index options market

Kim, Joocheol; Kim, Hyun-Oh - In: Global economic review 43 (2014) 3, pp. 269-284

Persistent link: https://www.econbiz.de/10010509739