Search Results - subject_exact:"Outliers"

The geometry of heterogeneous extremes : optimal transport and entropic design

Buhai, Sebastian - 2026

Extreme outcomes depend not only on shock tails but also on heterogeneity in how many opportunities agents get to sample. In the mixed-Poisson search framework, a randomly drawn agent's normalized maximum converges to Hγ,F (x) = P0 (vγ (x)) , a Laplace-transform mixture of a classical...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015625042

Extreme value inference for heterogeneous heavy-tailed data : a derandomization theory

Daouia, Abdelaati; Hachem, Joseph; Stupfler, Gilles - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015625395

Consumer sentiment and spending in extreme events

Ardakani, Omid M.; Levine, Lindsay R. - 2026

We examine tail dependence between consumer sentiment and spending during crises, focusing on COVID-19 and the Global Financial Crisis. Using copula models on U.S. monthly data from 2003-2024, we quantify extreme co-movements and find asymmetric tail dependence that intensifies during crises:...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015633714

Comparative analysis of tail risk in emerging and developed equity markets : an extreme value theory perspective

Dlamini, Sthembiso; Shongwe, Sandile Charles - 2026

This research explores the application of extreme value theory in modelling and quantifying tail risks across different economic equity markets, with focus on the Nairobi Securities Exchange (NSE20), the South African Equity Market (FTSE/JSE Top40) and the US Equity Index (S&P500). The study...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015591162

Joint extreme value-at-risk and expected shortfall dynamics with a single integrated tail shape parameter

D'Innocenzo, Enzo; Lucas, André; Schwaab, Bernd; Zhang, Xin - 2026

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/10015592338

Navigating extreme market fluctuations : asset allocation strategies in developed vs. emerging economies

Bonga-Bonga, Lumengo - 2026

This paper examines how assets from emerging and developed stock markets can be efficiently allocated during periods of financial crisis by integrating traditional portfolio theory with Extreme Value Theory (EVT), using the Generalized Pareto Distribution (GPD) and Generalized Extreme Value...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015640564

Estimation and inference for the persistence of extremely high temperatures

Cai, Juan Juan; Lin, Yicong; Schaumburg, Julia; Wang, … - 2026

We propose a nonparametric framework for estimating the extremal index that captures the persistence of extreme observations. The framework provides unified and simple procedures for verifying the well-known local dependence condition D(ᵈ) (un), which characterizes the extremal index yet is...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015567815

Anomaly detection using surprisals

Hyndman, Rob J.; Frazier, David T. - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015650671

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

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015324099

Improving detectability of the indicator saturation approach through winsorization : an empirical study in the cryptocurrency market

Mohamed, Suleiman Dahir; Mohd Tahir Ismail; Ali, Majid … - 2025

Despite the introduction of several adjustments, mitigating data anomalies in financial datasets has proven challenging, particularly in the context of cryptocurrencies with extreme values and increased volatility. The progress in properly addressing these anomalies prior to testing remains...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015338574

Maximum trimmed likelihood estimation for discrete multivariate Vasicek processes

Fullerton, Thomas M.; Pokojovy, Michael; Anum, Andrews T.; … - 2025

The multivariate Vasicek model is commonly used to capture mean-reverting dynamics typical for short rates, asset price stochastic log-volatilities, etc. Reparametrizing the discretized problem as a VAR(1) model, the parameters are oftentimes estimated using the multivariate least squares (MLS)...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015338665

Bayesian outlier detection for matrix-variate models

Billio, Monica; Casarin, Roberto; Corradin, Fausto; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015464353

Enhancing insurer portfolio resilience and capital efficiency with green bonds : a framework combining dynamic R-vine copulas and tail-risk modeling

Thitivadee Chaiyawat; Pannarat Guayjarernpanishk - 2025

This study develops an integrated risk modeling framework to assess capital adequacy and optimize portfolio performance for Thai life and non-life insurers. Leveraging ARMA-GJR-GARCH models with skewed Student-t innovations, extreme value theory, and dynamic R-vine copulas, the framework...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015467328

Asymmetry in distributions of accumulated gains and losses in stock returns

Farahani, Hamed; Serota, Rostislav A. - 2025

We studied decades-long (1980 to 2024) historic distributions of accumulated S&P500 returns, from daily returns to those over several weeks. The time series of the returns emphasize major upheavals in the markets - Black Monday, Tech Bubble, Financial Crisis, and the COVID pandemic - which are...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015439166

Electricity demand forecasting of value-at-risk and expected shortfall : the South African context

Masilo, Bofelo Moemedi; Makatjane, Katleho - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015404066

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

Extremal expected shortfall regressions : inference and an application to health care spending

Hoga, Yannick; Karlsson, Martin - 2025

This paper proposes feasible inference methods for extremal expected shortfall (ES) regressions. While standard ES regressions consider a fixed probability level, in extremal ES regressions the probability level becomes more extreme as a function of the sample size. We show that in extremal ES...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015616196

A tutorial on what to do with skewness, kurtosis, and outliers : new insights to help scholars conduct and defend their research

Iacobucci, Dawn; Román, Sergio; Moon, Sangkil; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015373380

Asymmetry in distributions of accumulated gains and losses in stock returns

Farahani, Hamed; Serota, Rostislav A. - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015469004

Maximum trimmed likelihood estimation for discrete multivariate Vasicek processes

Fullerton, Thomas M.; Pokojovy, Michael; Anum, Andrews T.; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015469169

Limiting distribution of the maximum drawdown for Brownian motion with positive drift

Bermin, Hans-Peter; Holm, Magnus - 2025

The maximum drawdown of a stochastic process is the largest peak-to-trough decline observed over a given horizon [0, T]. Using arguments from extreme value theory, we derive the limiting distribution of the maximum drawdown for a Brownian motion with positive drift as T → ∞. We show that,...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015557774

Robust learning of tail dependence

Ardakani, Omid M. - 2025

Accurate estimation of tail dependence is difficult due to model misspecification and data contamination. This paper introduces a class of minimum f-divergence estimators for the tail dependence coefficient that unifies robust estimation with extreme value theory. I establish strong consistency...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015562118

A copula-based data augmentation strategy for the sensitivity analysis of extreme operational losses

Chokami, A. Khorrami; Rabitti, G. - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015534156

Monetary policy across inflation regimes

Gargiulo, Valeria; Matthes, Christian; Petrova, Katerina - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015583101

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Monetary policy across inflation regimes

Gargiulo, Valeria; Matthes, Christian; Petrova, Katerina - 2024

Book / Working Paper

Catastrophic-risk-aware reinforcement learning with extreme-value-theory-based policy gradients

Davar, Parisa; Godin, Frédéric; Garrido, José - 2025

This paper tackles the problem of mitigating catastrophic risk (which is risk with very low frequency but very high severity) in the context of a sequential decision making process. This problem is particularly challenging due to the scarcity of observations in the far tail of the distribution...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015654808

Extreme conditional tail risk inference in ARMA-GARCH models

Ma, Yaolan; Wei, Bo - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015556648

Maximum lq-likelihood estimator of the heavy-tailed distribution parameter

Kouider, Mohammed Ridha; Idiou, Nesrine; Toumi, Samia; … - 2024

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...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015375901

Missing data substitution for enhanced robust filtering and forecasting in linear state-space models

Dobrev, Dobrislav; Szerszeń, Pawel J. - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015271337

Tail risk spillover network among green bond, energy and agricultural markets under extreme weather scenarios

Xue, Jianhao; Dai, Xingyu; Zhang, Dongna; Nghiem, Xuan-Hoa - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015323526

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

A unified theory of extreme Expected Shortfall inference

Daouia, Abdelaati; Stupfler, Gilles; Usseglio-Carleve, … - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015097279

Measuring tail risk

Dierkes, Maik; Hollstein, Fabian; Prokopczuk, Marcel; … - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015075193

A simple theory of Pareto-distributed earnings

Harmenberg, Karl - 2024

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...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015075876

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...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014578931

Extreme risk spillovers between stock and bond markets

Ning, Cathy Q.; Ponrajah, Jeremey - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015052590

Modeling extreme events : time-varying extreme tail shape

D'Innocenzo, Enzo; Lucas, André; Schwaab, Bernd; Zhang, Xin - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015053506

The robustification of distance-based linear models : some proposals

Boj, Eva; Grané, Aurea - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015100742

Temporal-like bivariate fay-herriot model : leveraging past responses and advanced preprocessing for enhanced small area estimation of growing stock volume

Georgakis, Aristeidis; Papageorgiou, Vasileios E.; … - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014517534

What can volatility smiles tell us about the too big to fail problem?

Ngo, Phong T. H.; Puente-Moncayo, Diego L. - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014520129

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What Can Volatility Smiles Tell Us About the Too Big to Fail Problem?

Ngo, Phong T. H.; Puente-Moncayo, Diego - 2021

Book / Working Paper

Forecasting the effect of extreme sea-level rise on financial market risk

Garcia-Jorcano, Laura; Sanchis-Marco, Lidia - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014535506

Tail copula estimation for heteroscedastic extremes

Einmahl, John H. J.; Chen Zhou - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014467520

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

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015130401

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

Antwi, Albert; Gyamfi, Emmanuel Numapau; Adam, Anokye M. - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015110551

Multiple outlier detection in samples with exponential & pareto tails

Sornette, Didier; Wei, Ran - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015110737

Robust estimation of the range-based GARCH model : forecasting volatility, value at risk and expected shortfall of cryptocurrencies

Fiszeder, Piotr; Małecka, Marta; Molnár, Peter - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015191454

Comparing and quantifying tail dependence

Siburg, Karl Friedrich; Strothmann, Christopher; Weiß, … - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015067023

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Comparing and Quantifying Tail Dependence

Siburg, Karl Friedrich; Strothmann, Christopher; Weiß, … - 2022

Book / Working Paper

Locally tail-scale invariant scoring rules for evaluation of extreme value forecasts

Olafsdottir, Helga Kristin; Rootzén, Holger; Bolin, David - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015438505

Testing extreme warming and geographical heterogeneity

Gadea, María Dolores; Gonzalo, Jesús; Olmo, Jose - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015395810

Extreme value inference for general heterogeneous data

He, Yi; Einmahl, John H. J. - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014528470

Visualisation of Mahalanobis distances for trivariate JOINT distributions

Groenewald, Emily; Van Vuuren, Gary - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014584084