Search Results - subject:"peaks over threshold"

Estimating a bivariate tail: A copula based approach

Di Bernardino, Elena; Maume-Deschamps, Véronique; … - In: Journal of Multivariate Analysis 119 (2013) C, pp. 81-100

general extension of the POT (peaks-over-threshold) method, mainly based on a two-dimensional version of the Pickands …

Persistent link: https://www.econbiz.de/10010678851

Unbiased Tail Estimation by an Extension of the Generalized Pareto Distribution

Beirlant, J.; Joossens, E.; Segers, J. - Tilburg University, Center for Economic Research - 2005

AMS classifications: 62G20; 62G32;

Persistent link: https://www.econbiz.de/10011092196

Asymptotic conditional distribution of exceedance counts: fragility index with different margins

Falk, Michael; Tichy, Diana - In: Annals of the Institute of Statistical Mathematics 64 (2012) 5, pp. 1071-1085

We consider a random vector <Emphasis Type="BoldItalic">X, whose components are neither necessarily independent nor identically distributed. The fragility index (FI), if it exists, is defined as the limit of the expected number of exceedances among the components of <Emphasis Type="BoldItalic">X above a high threshold, given that there is at least...</emphasis></emphasis>

Persistent link: https://www.econbiz.de/10011000083

High-frequency financial data modeling using Hawkes processes

Chavez-Demoulin, V.; McGill, J.A. - In: Journal of Banking & Finance 36 (2012) 12, pp. 3415-3426

nonparametric extension of the classical peaks-over-threshold method. Maximum likelihood estimation is computationally intensive; we …

Persistent link: https://www.econbiz.de/10010580932

Statistical analysis on extreme wave height

Teena, N.; Kumar, V. Sanil; Sudheesh, K.; Sajeev, R. - In: Natural Hazards 64 (2012) 1, pp. 223-236

comparing the distributions fitted to the GEV with annual maximum approach and GPD with peaks over threshold approach have …

Persistent link: https://www.econbiz.de/10010995553

The modelling of operational risk: experience with the analysis of the data collected by the Basel Committee

Moscadelli, Marco - Banca d'Italia - 2004

its Peaks Over Threshold representation, explains the behaviour of the operational risk data in the tail area well. Then …

Persistent link: https://www.econbiz.de/10005467320

Estimating inflation-at-risk (IaR) using extreme value theory (EVT)

Santos, Edward P.; Mapa, Dennis S.; Glindro, Eloisa T. - In: Philippine Review of Economics 47 (2010) 2, pp. 21-40

a model in estimating the IaR. The estimates of the IaR using the peaks-over-threshold (POT) model suggest that while …

Persistent link: https://www.econbiz.de/10010680957

Predictive performance of conditional Extreme Value Theory in Value-at-Risk estimation

Ghorbel, Ahmed; Trabelsi, Abdelwahed - In: International Journal of Monetary Economics and Finance 1 (2008) 2, pp. 121-148

. Special emphasis is paid to two methodologies related to the Extreme Value Theory (EVT): The Peaks Over Threshold (POT) and …

Persistent link: https://www.econbiz.de/10005543991

Predictive performance of conditional Extreme Value Theory in Value-at-Risk estimation

Ghorbel, Ahmed; Trabelsi, Abdelwahed - In: International Journal of Monetary Economics and Finance 1 (2008) 2, pp. 121-148

. Special emphasis is paid to two methodologies related to the Extreme Value Theory (EVT): The Peaks Over Threshold (POT) and …

Persistent link: https://www.econbiz.de/10008538659

Bayesian approach to parameter estimation of the generalized pareto distribution

Bermudez, P. Zea; Turkman, M. - In: TEST: An Official Journal of the Spanish Society of … 12 (2003) 1, pp. 259-277

Persistent link: https://www.econbiz.de/10005390630