Search Results - subject:"peak over threshold"

Semi-nonparametric estimation of operational risk capital with extreme loss events

Chen, Heng Z.; Cosslett, Stephen R. - In: The journal of operational risk 19 (2024) 1, pp. 51-86

Persistent link: https://www.econbiz.de/10014490229

Exchange market pressure in South Africa and Kenya : an analysis using parametric and non-parametric extreme value theory

Boer, Pieter-Henk; Munapo, Elias; Chanza, Martin; … - In: Journal of economic and financial sciences : JEF 12 (2019) 1, pp. 1-15

Persistent link: https://www.econbiz.de/10012018969

Modelling extreme risk of the financial index (J580) using the general Pareto distribution

Jakata, Owen; Chikobvu, Delson - In: Journal of economic and financial sciences : JEF 12 (2019) 1, pp. 1-7

Persistent link: https://www.econbiz.de/10012018994

Forecasting tail risk for Bitcoin : a dynamic peak over threshold approach

Ke, Rui; Yang, Luyao; Tan, Changchun - In: Finance research letters 49 (2022), pp. 1-9

Persistent link: https://www.econbiz.de/10013478773

Extreme risk spillovers across financial markets under different crises

Cao, Yufei - In: Economic modelling 116 (2022), pp. 1-19

Persistent link: https://www.econbiz.de/10014512465

A Comparative Analysis of Value at Risk Measurement on Emerging Stock Markets: Case of Montenegro

Cerović, Julija; Lipovina-Božović, Milena; … - In: Business Systems Research 6 (2015) 1, pp. 36-55

Background: The concept of value at risk gives estimation of the maximum loss of financial position at a given time for a given probability. The motivation for this analysis lies in the desire to devote necessary attention to risks in Montenegro, and to approach to quantifying and managing risk...

Persistent link: https://www.econbiz.de/10011272289

Predicting Malaysian palm oil price using Extreme Value Theory

Chuangchid, Kantaporn; Sriboonchitta, Songsak; Rahman, … - In: International Journal of Agricultural Management 02 (2013) 2

Block Maxima (BM) and Peak-Over- Threshold (POT) models â€“ were used. Both models revealed that the palm oil price will …

Persistent link: https://www.econbiz.de/10011143512

Using conditional extreme value theory to estimate value-at-risk for daily currency exchange rates

Omari, Cyprian Ondieki; Mwita, Peter N.; Waititu, Antony G. - In: Journal of mathematical finance 7 (2017) 4, pp. 846-870

Persistent link: https://www.econbiz.de/10011859906

Intraday risk management in International stock markets : a conditional EVT approach

Karmakar, Madhusudan; Paul, Samit - In: International review of financial analysis 44 (2016), pp. 34-55

Persistent link: https://www.econbiz.de/10011623805

Early warning system of finance stress for India

Guru, Anuradha - In: International review of applied economics 30 (2016) 3, pp. 273-300

Persistent link: https://www.econbiz.de/10011472477