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

Capturing information in extreme events

Ardakani, Omid M. - In: Economics letters 231 (2023), pp. 1-5

Persistent link: https://www.econbiz.de/10014461218

Extreme value theory for operational risk in insurance : a case study

Vyskočil, Michal; Koudelka, Jiří - In: The journal of operational risk 16 (2021) 4, pp. 1-26

Persistent link: https://www.econbiz.de/10013177451

Predicting Federal Funds Rate Using Extreme Value Theory

Dey, Ashim Kumar; Das, Kumer Pial - In: Stochastics and Quality Control 35 (2020) 1, pp. 1-15

Abstract The extreme value theory (EVT) is used to assess the risk of extreme events caused by natural calamities or untoward circumstances in the social and economic sectors. The theory can be used to study the frequency of rare events and to build up a predictive model so that one can attempt...

Persistent link: https://www.econbiz.de/10014591045

Closed form solutions for the generalized extreme value distribution

Beckert, Walter; Takahashi, Yuya - 2015

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

Mortgage default decisions in the presence of non-normal, spatially dependent disturbances

Calabrese, Raffaella; McCollum, Meagan N.; Pace, R. Kelley - In: Regional science & urban economics 76 (2019), pp. 103-114

Persistent link: https://www.econbiz.de/10012267362

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

Modeling maxima with autoregressive conditional Fréchet model

Zhao, Zifeng; Zhang, Zhengjun; Chen, Rong - In: Journal of econometrics 207 (2018) 2, pp. 325-351

Persistent link: https://www.econbiz.de/10012116357

Poisson-driven stationary Markov models

Anzarut, Michelle; Mena, Ramsés H.; Nava, Consuelo Rubina - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 4, pp. 684-694

Persistent link: https://www.econbiz.de/10012249233