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Extreme Values Theory and Return Level Analysis for Catastrophe Prediction

Kapoor, Amitesh - 2014

not normally distributed and need to be modeled separately. Extreme value theory (EVT) is highly successful and is …

Persistent link: https://www.econbiz.de/10013064440

Extreme hypermetrics and L-polytopes

Deza, Michel; Grishukin, Viatcheslav P.; Laurent, Monique - 1991

Persistent link: https://www.econbiz.de/10000821429

An empirical review of dynamic extreme value models for forecasting value at risk, expected shortfall and expectile

Candia Campano, Claudio; Herrera, Rodrigo - In: Journal of empirical finance 77 (2024), pp. 1-16

Persistent link: https://www.econbiz.de/10014578542

Forecasting tail risk of skewed financial returns having exponential-polynomial tails

Antwi, Albert; Gyamfi, Emmanuel Numapau; Adam, Anokye M. - In: Journal of forecasting 43 (2024) 7, pp. 2731-2748

Persistent link: https://www.econbiz.de/10015110551

Forecasting extreme financial risk : a score-driven approach

Fuentes, Fernanda; Herrera, Rodrigo; Clements, Adam - In: International journal of forecasting 39 (2023) 2, pp. 720-735

Persistent link: https://www.econbiz.de/10014465107

Value at risk forecasts by extreme value models in a conditional duration framework

Herrera, Rodrigo; Schipp, Bernhard - In: Journal of empirical finance 23 (2013), pp. 33-47

Persistent link: https://www.econbiz.de/10010221789

Predicting extreme VaR : nonparametric quantile regression with refinements from extreme value theory

Schaumburg, Julia - 2010

extreme value theory. The out-of-sample forecasting performance of our methods turns out to be clearly superior to different … management ; extreme value theory ; monotonization ; CAViaR …

Persistent link: https://www.econbiz.de/10003952845

Realized volatility models and alternative Value-at-Risk prediction strategies

Louzis, Dimitrios P.; Xanthopoulos-Sisinis, Spyros; … - In: Economic modelling 40 (2014), pp. 101-116

Persistent link: https://www.econbiz.de/10010425716

Assessing coherent value-at-risk and expected shortfall with extreme expectiles

Daouia, Abdelaati; Girard, Stéphane; Stupfler, Gilles - 2015

Persistent link: https://www.econbiz.de/10011302290

Modeling commodity value at risk with Psi Sigma neural networks using open-high-low-close data

Sermpinis, Georgios; Laws, Jason; Dunis, Christian - In: The European journal of finance 21 (2015) 4/6, pp. 316-336

Persistent link: https://www.econbiz.de/10010528195