Showing 1 - 10 of 13
Persistent link: https://www.econbiz.de/10011757876
Persistent link: https://www.econbiz.de/10010511552
We propose a multivariate dynamic intensity peaks-over-threshold model to capture extreme events in a multivariate time series of returns. The random occurrence of extreme events exceeding a threshold is modeled by means of a multivariate dynamic intensity model allowing for feedback effects...
Persistent link: https://www.econbiz.de/10011336494
Persistent link: https://www.econbiz.de/10014578542
Persistent link: https://www.econbiz.de/10012036606
Persistent link: https://www.econbiz.de/10014465107
Persistent link: https://www.econbiz.de/10015405419
We propose a multivariate dynamic intensity peaks-over-threshold model to capture extreme events in a multivariate time series of returns. The random occurrence of extreme events exceeding a threshold is modeled by means of a multivariate dynamic intensity model allowing for feedback effects...
Persistent link: https://www.econbiz.de/10011335446
Primary concerns for traders since the deregulation of electricity markets include both the selection of optimal trading limits and risk quantification. These concerns have come about as a consequence of the unique stylized attributes of electricity spot prices, such as the clustering of...
Persistent link: https://www.econbiz.de/10011051407
Given the growing need for managing financial risk and the recent global crisis, risk prediction is a crucial issue in banking and finance. In this paper, we show how recent advances in the statistical analysis of extreme events can provide solid methodological fundamentals for modeling extreme...
Persistent link: https://www.econbiz.de/10010931458