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Extreme dependence with asymmetric thresholds: Evidence for the European Monetary Union
(ELSEVIER SCIENCE BV, 2012)
Extended generalized extreme value distribution with applications in environmental data
(Journal of Mathematics and Statistics, 2022)
Extreme value Birnbaum-Saunders regression models applied to environmental data.
Extreme value models are widely used in different areas. The Birnbaum–Saunders distribution is receiving considerable attention due to its physical arguments and its good properties. We propose a methodology based on extreme ...
Extreme value theorem
(Wolfram Demonstration Project, 2016)
Extreme value theorem
(Wolfram Demonstration Project, 2011)
Temporary stabilization: a Fréchet-Weibull extreme value distribution approach
(EconoQuantum, 2012-06)
This paper develops, in a small open economy of pure exchange framework, a stochastic model of exchange-rate-based inflation stabilization plan that is expected to be temporary. Agents have expectations of devaluation ...
The new hybrid value at risk approach based on the extreme value theory
(Universidad de Chile. Facultad de Economía y Negocios, 2016)
In this paper the authors introduce a new hybrid approach based on the Extreme Value Theory (EVT) to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high quantiles of return distributions. The ...