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TWO-COMPONENT EXTREME VALUE DISTRIBUTION FOR ASIA-PACIFIC STOCK INDEX RETURNS

ANÉ, THIERRY - In: International Journal of Theoretical and Applied … 09 (2006) 05, pp. 643-671

Financial risk management typically deals with low-probability events in the tails of asset return distributions. To better capture the behavior of these tails, several studies have clearly highlighted that one should rely on a methodology that directly focuses on the tails of the distribution...

Persistent link: https://www.econbiz.de/10004971766

Markets liquidity risk under extremal dependence: Analysis with VaRs methods

Ourir, Awatef; Snoussi, Wafa - In: Economic Modelling 29 (2012) 5, pp. 1830-1836

to the VaR when dependence is considered. The efficiency of those methods was tested and compared using the backtesting …

Persistent link: https://www.econbiz.de/10010597521

Hurricane wind risk in Louisiana

Trepanier, Jill; Scheitlin, Kelsey - In: Natural Hazards 70 (2014) 2, pp. 1181-1195

A statistical procedure for estimating the risk of strong winds from hurricanes, known as the Hurricane Risk Calculator, is demonstrated and applied to several major cities in Louisiana. The procedure provides an estimate of wind risk over different length periods and can be applied to any...

Persistent link: https://www.econbiz.de/10010996174

Extreme Earthquake and Earthquake Perceptibility Study in Greece and its Surrounding Area

Burton, Paul; Qin, Changyuan; Tselentis, G.-Akis; … - In: Natural Hazards 32 (2004) 3, pp. 277-312

The sample interval for the selection of extreme magnitudes plays an important part in the quality of Gumbel model fitting. A short sample interval can produce many observations, which is helpful in obtaining a reliably fitting model. However a short sample interval can bring many dummy...

Persistent link: https://www.econbiz.de/10010996295

Extreme wind gust hazard in Australia and its sensitivity to climate change

Wang, Chi-Hsiang; Wang, Xiaoming; Khoo, Yong - In: Natural Hazards 67 (2013) 2, pp. 549-567

For consideration of structural design of buildings and infrastructure in Australia, this paper presents hazard modelling and mapping of extreme wind gusts under the current climate and likely future climate change. Statistical and probabilistic approaches are applied to analyse the daily...

Persistent link: https://www.econbiz.de/10010996995

The Discrete Choice Analytically Flexible (DCAF) Model of Demand for Differentiated Products

Davis, Peter - C.E.P.R. Discussion Papers - 2006

In this paper I develop the Discrete Choice Analytically Flexible (DCAF) model of demand for differentiated products. DCAF relaxes the constraints imposed on the matrix of own- and cross-price elasticities of demand by popular analytic discrete choice models such as the Multinomial Logit (MNL)...

Persistent link: https://www.econbiz.de/10005656174

Hurricane winds over the North Atlantic: spatial analysis and sensitivity to ocean temperature

Trepanier, Jill - In: Natural Hazards 71 (2014) 3, pp. 1733-1747

Hurricanes pose serious threats to people and infrastructure along the United States Gulf and Atlantic coasts. The risk of the strongest hurricane winds over the North Atlantic basin is analyzed using a statistical model from extreme value theory and a tessellation of the domain. The spatial...

Persistent link: https://www.econbiz.de/10010758888

Stand-alone PV system design: Results using a new sizing approach

Fragaki, A.; Markvart, T. - In: Renewable Energy 33 (2008) 1, pp. 162-167

A new sizing approach is applied in this paper to stand-alone PV systems design, which is based on systems configurations without shedding load. The investigation is based on a detailed study of the minimum storage requirement and an analysis of the sizing curves. The analysis reveals the...

Persistent link: https://www.econbiz.de/10010806801

International diversification: An extreme value approach

Chollete, Lorán; de la Peña, Victor; Lu, Ching-Chih - In: Journal of Banking & Finance 36 (2012) 3, pp. 871-885

International diversification has costs and benefits, depending on the degree of asset dependence. We study … international diversification with two dependence measures: correlations and extreme dependence. We discover that dependence has … additional findings related to dependence. First, the timing of downside risk differs depending on the region. Surprisingly …

Persistent link: https://www.econbiz.de/10011065732

Spatiotemporal patterns of extreme hurricanes impacting US coastal cities

Ellis, Kelsey; Sylvester, Linda; Trepanier, Jill - In: Natural Hazards 75 (2015) 3, pp. 2733-2749

US coastal cities are regularly subjected to destruction by tropical cyclones. The risk of tropical cyclone winds varies along the length of the coastline. We analyze landfalling North Atlantic basin tropical cyclones whose intensities are considered extreme relative to their landfall location....

Persistent link: https://www.econbiz.de/10011151565