Buscar
Mostrando ítems 1-10 de 563
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)
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 ...
Energy risk management through self-exciting marked point process
(ELSEVIER SCIENCE BV, PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS, 2013)
The modeling and forecasting of extreme events in electricity spot markets
(ELSEVIER SCIENCE BV, 2014)
Threshold selection for extremes under a semiparametric model
(Springer Heidelberg, 2013-07)
In this work we propose a semiparametric likelihood procedure for the threshold selection for extreme values.This is achieved under a semiparametric model,which assumes there is a threshold above which the excess distribution ...
Bayesian analysis of extreme events with threshold estimation
(Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2004-08-20)
The aim of this paper is to analyze extremal events using Generalized Pareto Distributions (GPD), considering explicitly the uncertainty about the threshold. Current practice empirically determines this quantity and proceeds ...