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Search: subject:"peaks over threshold"
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ECONIS (ZBW)
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31
Application of Modified POT Method with Volatility Model for Estimation of Risk Measures
Faldzinski, Marcin
- In:
Dynamic Econometric Models
9
(
2009
),
pp. 119-128
models with
Peaks
over
Threshold
method that comes from extreme value theory. The new approach is applied for estimation of …
Persistent link: https://www.econbiz.de/10009001716
Saved in:
32
Measuring market risk using extreme value theory
Mapa, Dennis S.
;
Suaiso, Oliver Q.
-
Volkswirtschaftliche Fakultät, …
-
2009
-at-risk (VaR) models to measure market risk. In this paper, two VaR models are considered using the
peaks-over-threshold
(POT …
Persistent link: https://www.econbiz.de/10008562604
Saved in:
33
Measuring market risk using extreme value theory
Suaiso, Jose Oliver Q.
;
Mapa, Dennis S.
- In:
Philippine Review of Economics
46
(
2009
)
2
,
pp. 91-121
-at-risk (VaR)models to measure market risk. In this paper, two VaR models are considered using the
peaks-over-threshold
(POT …
Persistent link: https://www.econbiz.de/10008677449
Saved in:
34
Extreme value theory, asset ranking and threshold choice : a practical note on VaR estimation
Auer, Benjamin R.
- In:
Journal of risk
18
(
2015/2016
)
1
,
pp. 27-44
Persistent link: https://www.econbiz.de/10013262944
Saved in:
35
Extreme value theory in emerging markets : evidence from the Montenegrin stock exchange
Cerovic Smolovic, Julija
;
Karadžić, Vesna
- In:
Economic annals
60
(
2015
)
206
,
pp. 87-116
Persistent link: https://www.econbiz.de/10011421685
Saved in:
36
Modelling interregional links in electricity price spikes
Clements, Adam
;
Herrera, Rodrigo
;
Hurn, Stan
- In:
Energy economics
51
(
2015
),
pp. 383-393
Persistent link: https://www.econbiz.de/10011564890
Saved in:
37
Extreme-quantile tracking for financial time series
Chavez-Demoulin, V.
;
Embrechts, P.
;
Sardy, S.
- In:
Journal of Econometrics
181
(
2014
)
1
,
pp. 44-52
clustering. We propose a nonparametric extension of the classical
Peaks-Over-Threshold
method from extreme value theory to fit …
Persistent link: https://www.econbiz.de/10010776912
Saved in:
38
Modeling multivariate extreme events using self-exciting point processes
Grothe, Oliver
;
Korniichuk, Volodymyr
;
Manner, Hans
- In:
Journal of Econometrics
182
(
2014
)
2
,
pp. 269-289
-varying dependence. The model is developed within the framework of the
peaks-over-threshold
approach in extreme value theory and relies …
Persistent link: https://www.econbiz.de/10010906794
Saved in:
39
Modeling multivariate extreme events using self-exciting point processes
Grothe, Oliver
;
Korniichuk, Volodymyr
;
Manner, Hans
- In:
Journal of econometrics
182
(
2014
)
2
,
pp. 269-289
Persistent link: https://www.econbiz.de/10010497083
Saved in:
40
Extreme-quantile tracking for financial time series
Chavez-Demoulin, V.
;
Embrechts, Paul
;
Sardy, S.
- In:
Journal of econometrics
181
(
2014
)
1
,
pp. 44-52
Persistent link: https://www.econbiz.de/10010473421
Saved in:
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