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Year of publication
Subject
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Ausreißer 964 Outliers 964 Risikomaß 564 Risk measure 562 Theorie 499 Theory 490 Statistische Verteilung 398 Statistical distribution 397 Risikomanagement 268 Risk management 264 Extreme value theory 261 extreme value theory 258 Risk 211 Risiko 208 ARCH model 187 ARCH-Modell 187 Schätztheorie 180 Estimation theory 178 Portfolio selection 155 Portfolio-Management 154 Extreme Value Theory 151 Multivariate Verteilung 147 Multivariate distribution 147 Schätzung 146 Estimation 144 Kapitaleinkommen 139 Capital income 138 Volatility 128 Volatilität 123 Prognoseverfahren 104 Financial crisis 102 Forecasting model 102 Finanzkrise 98 Zeitreihenanalyse 85 Time series analysis 84 Wahrscheinlichkeitsrechnung 81 Probability theory 79 Value-at-Risk 72 Börsenkurs 69 Share price 68
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Online availability
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Free 615 Undetermined 431 CC license 35
Type of publication
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Article 809 Book / Working Paper 609 Other 2
Type of publication (narrower categories)
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Article in journal 556 Aufsatz in Zeitschrift 556 Working Paper 242 Graue Literatur 208 Non-commercial literature 208 Arbeitspapier 203 Aufsatz im Buch 51 Book section 51 Hochschulschrift 32 Thesis 27 Article 21 research-article 9 Collection of articles of several authors 7 Sammelwerk 7 Aufgabensammlung 6 Conference paper 4 Konferenzbeitrag 4 Lehrbuch 4 Textbook 4 Anleitung 3 Collection of articles written by one author 3 Sammlung 3 Aufsatzsammlung 2 Mikroform 2 Case study 1 Conference proceedings 1 Congress Report 1 Dissertation u.a. Prüfungsschriften 1 Fallstudie 1 Festschrift 1 Forschungsbericht 1 Handbook 1 Handbuch 1 Konferenzschrift 1 Systematic review 1 Universitätsschrift 1 review-article 1 Übersichtsarbeit 1
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Language
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English 1,124 Undetermined 263 German 26 Portuguese 2 Afrikaans 1 Czech 1 French 1 Italian 1 Spanish 1
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Author
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Einmahl, John H. J. 30 Chen Zhou 24 Herrera, Rodrigo 20 Vries, Casper G. de 19 Zhou, Chen 18 Daouia, Abdelaati 15 Cotter, John 14 Lucas, André 14 Stupfler, Gilles 14 Haan, Laurens de 13 Watanabe, Hiroki 13 Aboura, Sofiane 12 Pontines, Victor 12 Straetmans, Stefan 12 Berliant, Marcus 11 Stork, Philip 11 Trabelsi, Abdelwahed 11 Schwaab, Bernd 10 Uppal, Jamshed Y. 10 Zhang, Xin 10 Daníelsson, Jón 9 Ghorbel, Ahmed 9 Makatjane, Katleho 9 Pais, Amelia 9 Qin, Xiao 9 Zikovic, Sasa 9 Orlik, Anna 8 Schaumburg, Julia 8 Veldkamp, Laura 8 Zhang, Zhengjun 8 Acemoglu, Daron 7 Candelon, Bertrand 7 Chernozhukov, Victor 7 Härdle, Wolfgang 7 Karmakar, Madhusudan 7 Martins-Filho, Carlos 7 Ozdaglar, Asuman E. 7 Tahbaz-Salehi, Alireza 7 Tolikas, Konstantinos 7 Yao, Feng 7
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Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 27 HAL 8 Tinbergen Instituut 6 de Nederlandsche Bank 6 Institut ekonomických studií, Univerzita Karlova v Praze 5 National Bureau of Economic Research 5 Tinbergen Institute 5 Centre for International Economic Studies, School of Economics 4 Econometric Society 4 HEC Paris (École des Hautes Études Commerciales) 4 Tilburg University, Center for Economic Research 4 C.E.P.R. Discussion Papers 3 Dipartimento di Economia "Marco Biagi", Università degli Studi di Modena e Reggio Emilia 3 EconWPA 3 Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam. 3 Erasmus Research Institute of Management (ERIM), Erasmus Universiteit Rotterdam 3 European Central Bank 3 Geary Institute, University College Dublin 3 Université Paris-Dauphine (Paris IX) 3 Banca d'Italia 2 CESifo 2 Courant Research Centre PEG 2 Deutsche Bundesbank 2 ESSEC Business School 2 Institut de Préparation à l'Administration et à la Gestion (IPAG) 2 London School of Economics (LSE) 2 Nationalekonomiska Institutionen, Ekonomihögskolan 2 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 2 Swiss Finance Institute 2 University of Bonn, Germany 2 University of Stellenbosch. Faculty of Economic and Management Sciences. Dept. of Statistics and Actuarial Science. 2 Université Paris-Dauphine 2 İktisat Bölümü, Bilkent Üniversitesi 2 Allied Academies International Conference 13-16 Oct. 2004 Maui, Hawaii 1 Banque de France 1 Center for Advanced Research in Finance and Banking (CARFIB), Academia de Studii Economice din Bucureşti 1 Center for Agricultural and Rural Development (CARD), Iowa State University 1 Center for Economic Research <Tilburg> 1 Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne) 1 College of Law and Business 1
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Published in...
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Insurance / Mathematics & economics 31 MPRA Paper 27 Discussion paper / Center for Economic Research, Tilburg University 21 Journal of banking & finance 18 Journal of econometrics 16 Discussion paper / Tinbergen Institute 15 Economic modelling 15 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 15 Risks : open access journal 15 Applied economics 14 International review of financial analysis 14 Finance research letters 13 Journal of empirical finance 12 Working papers / TSE : WP 12 Physica A: Statistical Mechanics and its Applications 11 The journal of operational risk 11 Tinbergen Institute Discussion Papers 11 Economics letters 10 Journal of risk 10 International review of economics & finance : IREF 9 DNB working paper 8 Energy economics 8 International journal of forecasting 8 Journal of Banking & Finance 8 SFB 649 discussion paper 7 Tinbergen Institute Discussion Paper 7 Working paper 7 CESifo working papers 6 DNB Working Papers 6 ECB Working Paper 6 Journal of international money and finance 6 Journal of mathematical finance 6 Pacific-Basin finance journal 6 Risks 6 The North American journal of economics and finance : a journal of financial economics studies 6 The journal of risk model validation 6 Working paper / National Bureau of Economic Research, Inc. 6 Annals of the Institute of Statistical Mathematics 5 Applied economics letters 5 Astin bulletin : the journal of the International Actuarial Association 5
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Source
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ECONIS (ZBW) 1,017 RePEc 313 EconStor 60 BASE 12 Other ZBW resources 10 USB Cologne (EcoSocSci) 7 USB Cologne (business full texts) 1
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Showing 1 - 50 of 1,420
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Joint extreme Value-at-Rrisk and Expected Shortfall dynamics with a single integrated tail shape parameter
D'Innocenzo, Enzo; Lucas, André; Schwaab, Bernd; Zhang, Xin - 2025
We propose a robust semi-parametric framework for persistent time-varying extreme tail behavior, including extreme Value-at-Risk (VaR) and Expected Shortfall (ES). The framework builds on Extreme Value Theory and uses a conditional version of the Generalized Pareto Distribution (GPD) for...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015324099
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Electricity demand forecasting of value-at-risk and expected shortfall : the South African context
Masilo, Bofelo Moemedi; Makatjane, Katleho - In: International Journal of Energy Economics and Policy : IJEEP 15 (2025) 1, pp. 481-489
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Bayesian inference for income inequality using a Pareto II tail with an uncertain threshold : combining EU-SILC and WID data
Silva, Mathias; Lubrano, Michel - 2024
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Analyzing and forecasting electricity price using regime-switching models : the case of New Zealand market
Kapoor, Gaurav; Wichitaksorn, Nuttanan; Zhang, WenJun - In: Journal of forecasting 42 (2023) 8, pp. 2011-2026
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Pricing multi-event-triggered catastrophe bonds based on a copula-POT model
Tang, Yifan; Wen, Conghua; Ling, Chengxiu; Zhang, Yuqing - In: Risks : open access journal 11 (2023) 8, pp. 1-19
The constantly expanding losses caused by frequent natural disasters pose many challenges to the traditional catastrophe insurance market. The purpose of this paper is to develop an innovative and systemic trigger mechanism for pricing catastrophic bonds triggered by multiple events with an...
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The generalised pareto distribution model approach to comparing extreme risk in the exchange rate risk of BitCoin/US Dollar and South African Rand/US Dollar Returns
Ndlovu, Thabani; Chikobvu, Delson - In: Risks : open access journal 11 (2023) 6, pp. 1-16
Cryptocurrencies are said to be very risky, and so are the currencies of emerging economies, including the South African rand. The steady rise in the movement of South Africans' investments between the rand and BitCoin warrants an investigation as to which of the two currencies is riskier. In...
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Extreme value theory modelling of the behaviour of Johannesburg stock exchange financial market data
Metwane, Maashele Kholofelo; Maposa, Daniel - In: International Journal of Financial Studies : open … 11 (2023) 4, pp. 1-27
Financial market data are abundant with outliers, and the search for an appropriate extreme value theory (EVT) approach to apply is an endless debate in the statistics of extremes research. This paper uses EVT methods to model the five-year daily all-share total return index (ALSTRI) and the...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014484249
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Extremal quantiles and stock price crashes
Andreou, Panayiotis C.; Anyfantaki, Sofia; Maasoumi, … - In: Econometric reviews 42 (2023) 9/10, pp. 703-724
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The devil is in the tail : macroeconomic tail risk expectations of firms
Menkhoff, Manuel - 2025
This paper examines novel survey evidence on firms’ beliefs about macroeconomic tail risk and their role in investment decisions. In a large survey of German firms, I elicit (i) the subjective probability of a severe macroeconomic downturn and (ii) firms’ exposure to such an event. I...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015396790
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Extreme value statistics using related variables
Ahmed, Hanan - 2022
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Bootstrapping time-varying uncertainty intervals for extreme daily return periods
Makatjane, Katleho - In: International Journal of Financial Studies : open … 10 (2022) 1, pp. 1-23
This study aims to overcome the problem of dimensionality, accurate estimation, and forecasting Value-at-Risk (VaR) and Expected Shortfall (ES) uncertainty intervals in high frequency data. A Bayesian bootstrapping and backtest density forecasts, which are based on a weighted threshold and...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012804913
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Forecasting uncertainty intervals for return period of extreme daily electricity consumption
Makatjane, Katleho - In: International Journal of Energy Economics and Policy : IJEEP 12 (2022) 4, pp. 217-225
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Assessing the risk characteristics of the cryptocurrency market : a GARCH-EVT-Copula approach
Bruhn, Pascal; Ernst, Dietmar - In: Journal of risk and financial management : JRFM 15 (2022) 8, pp. 1-28
The cryptocurrency market offers significant investment opportunities but also entails higher risks as compared to other asset classes. This article aims to analyse the financial risk characteristics of individual cryptocurrencies and of a broad cryptocurrency market portfolio. We construct a...
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On the effectiveness of stock index futures for tail risk protection
Zouari, Hammadi - In: International journal of economics and financial issues … 12 (2022) 3, pp. 38-52
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Best-arm identification using extreme value theory estimates of the CVaR
Troop, Dylan; Godin, Frédéric; Yu, Jia Yuan - In: Journal of risk and financial management : JRFM 15 (2022) 4, pp. 1-15
We consider a risk-aware multi-armed bandit framework with the goal of avoiding catastrophic risk. Such a framework has multiple applications in financial risk management. We introduce a new conditional value-at-risk (CVaR) estimation procedure combining extreme value theory with automated...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013273036
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Pricing hybrid-triggered catastrophe bonds based on copula-EVT model
Wei, Longfei; Liu, Lu; Hou, Jialong - In: Quantitative finance and economics 6 (2022) 2, pp. 223-243
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Building up cyber resilience by better grasping cyber risk via a new algorithm for modelling heavy-tailed data
Dacorogna, Michel M.; Debbabi, Nehla; Kratz, Marie - 2022
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Portfolio optimization for extreme risks with maximum diversification : an empirical analysis
Mehta, Navya Jayesh; Yang, Fan - In: Risks : open access journal 10 (2022) 5, pp. 1-26
Heavy tailedness and interconnectedness widely exist in stock returns and large insurance claims, which contributes to huge losses for financial institutions. Diversification ratio (DR) measures the degree of diversification using the Value-at-Risk, which is known to capture extreme risks better...
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Tail risk spillover network among green bond, energy and agricultural markets under extreme weather scenarios
Xue, Jianhao; Dai, Xingyu; Zhang, Dongna; Nghiem, Xuan-Hoa - In: International review of economics & finance : IREF 96 (2024) 3, pp. 1-31
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Comparing and quantifying tail dependence
Siburg, Karl Friedrich; Strothmann, Christopher; Weiß, … - In: Insurance : mathematics and economics 118 (2024), pp. 95-103
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From Extreme Events to Extreme Seasons
Dolk, Michaela; Laliotis, Dimitrios; Lamichhane, Sujan - 2024
This paper explores the financial stability implications of acute physical climate change risks using a novel approach focusing on a severe season associated with a series of tropical cyclone and flood events. Our approach was recently applied to study physical risks in the Mexican financial...
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A unified theory of extreme Expected Shortfall inference
Daouia, Abdelaati; Stupfler, Gilles; Usseglio-Carleve, … - 2024
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Maximum lq-likelihood estimator of the heavy-tailed distribution parameter
Kouider, Mohammed Tidha; Idiou, Nesrine; Toumi, Samia; … - In: Croatian review of economic, business and social … 10 (2024) 2, pp. 29-48
Studying the extreme value theory (EVT) involves multiple main objectives, among them the estimation of the tail index parameter. Some estimation methods are used to estimate the tail index parameter like maximum likelihood estimation (MLE). Additionally, the Hill estimator is one type of...
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Testing extreme warming and geographical heterogeneity
Gadea, María Dolores; Gonzalo, Jesús; Olmo, Jose - 2024
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An evaluation of the adequacy of Lévy and extreme value tail risk estimates
Mozumber, Sharif; Hassan, M. Kabir; Kabir, M. Humayun - In: Financial innovation : FIN 10 (2024), pp. 1-26
This study investigates the simplicity and adequacy of tail-based risk measures-valueat-risk (VaR) and expected shortfall (ES)-when applied to tail targeting of the extreme value (EV) model. We implement Lévy-VaR and ES risk measures as full density-based alternatives to the generalized Pareto...
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A note on the Gumbel convergence for the Lee and Mykland jump tests
Nunes, Joaõ Pedro Vidal; Ruas, João Pedro - In: Finance research letters 59 (2024), pp. 1-8
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What can volatility smiles tell us about the too big to fail problem?
Ngo, Phong T. H.; Puente-Moncayo, Diego L. - In: Journal of financial and quantitative analysis : JFQA 59 (2024) 2, pp. 863-895
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Extreme value inference for general heterogeneous data
He, Yi; Einmahl, John H. J. - 2024
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Forecasting the effect of extreme sea-level rise on financial market risk
Garcia-Jorcano, Laura; Sanchis-Marco, Lidia - In: International review of economics & finance : IREF 93 (2024) 2, pp. 1-27
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Extreme risk spillovers between stock and bond markets
Ning, Cathy Q.; Ponrajah, Jeremey - 2024
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Modeling extreme events : time-varying extreme tail shape
D'Innocenzo, Enzo; Lucas, André; Schwaab, Bernd; Zhang, Xin - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 3, pp. 903-917
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Measuring tail risk
Dierkes, Maik; Hollstein, Fabian; Prokopczuk, Marcel; … - In: Journal of econometrics 241 (2024) 2, pp. 1-24
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Volatility and models based on the extreme value theory for gold returns
Krężołek, Dominik; Piontek, Krzysztof - In: Statistics in transition : an international journal of … 25 (2024) 2, pp. 1-22
In this study, we use daily gold log-returns to analyse the quality of forecasting expected shortfalls (ES) using volatility and models based on the extreme value theory (EVT). ES forecasts were calculated for conditional APARCH models formed on the entire distribution of returns, as well as for...
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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
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Multiple outlier detection in samples with exponential & pareto tails
Sornette, Didier; Wei, Ran - 2024
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Detecting outliers in Malta pension schemes and insurance corporations datasets : a machine learning approach
Axiaq, Sarah; Carabott, Kristen - 2024
This paper presents a Machine Learning approach adopted at the Statistics Department of the Central Bank of Malta to detect outliers in the Maltese Pension Schemes and Insurance datasets, which are collected by the Bank, at micro-level. The motive behind this study is to develop an outlier...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015062337
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Tail copula estimation for heteroscedastic extremes
Einmahl, John H. J.; Chen Zhou - 2024
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014467520
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2T-POT Hawkes model for left- and right-tail conditional quantile forecasts of financial log returns : Out-of-sample comparison of conditional EVT models
Tomlinson, Matthew F.; Greenwood, David; … - In: International journal of forecasting 40 (2024) 1, pp. 324-347
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An improved model accuracy for forecasting risk measures: Application of ensemble methods
Makatjane, Katleho; Mmelesi, Kesaobaka - In: Journal of Applied Economics 27 (2024) 1, pp. 1-30
Statistical-based predictions with extreme value theory improve the performance of the risk model not by choosing the model structure that is expected to predict the best but by developing a model whose results are a combination of models with different shapes. Using different ensemble...
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An improved model accuracy for forecasting risk measures : application of ensemble methods
Makatjane, Katleho; Mmelesi, Kesaobaka - 2024
Statistical-based predictions with extreme value theory improve the performance of the risk model not by choosing the model structure that is expected to predict the best but by developing a model whose results are a combination of models with different shapes. Using different ensemble...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015196332
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A simple theory of Pareto-distributed earnings
Harmenberg, Karl - In: Economics letters 234 (2024), pp. 1-3
I introduce a simple model which endogenously generates a Pareto distribution in top earnings. Workers inhabit different niches, and the earnings of a worker is determined by the niche-specific supply of labor and a downward-sloping labor demand curve. The highest paid workers are the ones that...
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Nonprofit revenue strategy and downside risk : applying portfolio theory and extreme value theory
Kim, Saerim - In: Nonprofit and voluntary sector quarterly : journal of … 53 (2024) 4, pp. 948-973
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Idiosyncrasies of intraday risk in emerging and developed markets : efficacy of the MCS-GARCH model and extreme value theory
Banerjee, Aditya; Paul, Samit - In: Global business review 25 (2024) 2, pp. 468-490
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Modelling short- and long-term dependencies of clustered high-threshold exceedances in significant wave heights
Dissanayake, Pushpa; Flock, Teresa; Meier, Johanna; … - 2021
The peaks-over-threshold (POT) method has a long tradition in modelling extremes in environmental variables. However, the assumption of independently and identically distributed (iid) data is likely to be violated in practical settings, leading to clustering of high-threshold exceedances. These...
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Nonparametric inference for extremal conditional quantiles
Kurisu, Daisuke; Otsu, Taisuke - 2021
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Modeling extreme events : time-varying extreme tail shape
Schwaab, Bernd; Zhang, Xin; Lucas, André - 2021
We propose a dynamic semi-parametric framework to study time variation in tail parameters. The framework builds on the Generalized Pareto Distribution (GPD) for modeling peaks over thresholds as in Extreme Value Theory, but casts the model in a conditional framework to allow for time-variation...
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An optimal tail selection in risk measurement
Just, Małgorzata; Echaust, Krzysztof - In: Risks : open access journal 9 (2021) 4, pp. 1-16
The appropriate choice of a threshold level, which separates the tails of the probability distribution of a random variable from its middle part, is considered to be a very complex and challenging task. This paper provides an empirical study on various methods of the optimal tail selection in...
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Predicting extreme daily regime shifts in financial time series exchange/Johannesburg stock exchange : all share index
Makatjane, Katleho; Moroke, Ntebogang Dinah - In: International Journal of Financial Studies : open … 9 (2021) 2, pp. 1-18
During the past decades, seasonal autoregressive integrated moving average (SARIMA) had become one of a prevalent linear models in time series and forecasting. Empirical research advocated that forecasting with non-linear models can be an encouraging alternative to traditional linear models....
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Leave-one-out kernel density estimates for outlier detection
Kandanaarachchi, Sevvandi; Hyndman, Rob J. - 2021
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012614493
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Measurement of extreme market risk : insights from a comprehensive literature review
Chakraborty, Gourab; Chandrashekhar, G. R.; … - In: Cogent economics & finance 9 (2021) 1, pp. 1-24
The experience of past financial market turmoil suggests that in addition to eroding investor wealth, the severe consequences of rare extreme market events can spillover and impair the broader real economies. In this context, this paper is an evaluation of the methodological and empirical...
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