We propose a dynamic measure of extremal connectedness across investment styles of hedge funds. Using multivariate extreme value regression techniques, we estimate this measure conditional on factors reflecting the economic uncertainty and the state of the financial markets, and derive several...

With climate change accelerating, the frequency of climate disasters is expected to increase in the decades to come. There is ongoing debate as to how different climatic regions will be affected by such an acceleration. In this paper, we describe a model for predicting the frequency of climate...

We provide a new framework for modeling trends and periodic patterns in high-frequency financial data. Seeking adaptivity to ever-changing market conditions, we enlarge the Fourier flexible form into a richer functional class: both our smooth trend and the seasonality are non-parametrically...

Purpose – The purpose of this paper is to study how variations in weather affect demand and supply chain performance in sport goods. The study includes several brands differing in supply chain structure, product variety and seasonality. Design/methodology/approach – Longitudinal data on...

The statistics used in education research are based on central trends such as the mean or standard deviation, discarding outliers. This paper adopts another viewpoint that has emerged in Statistics, called the Extreme Value Theory (EVT). EVT claims that the bulk of the normal distribution is...