Extreme Value Theory and Dependence.

Mapping Intimacies ◽

10.21236/ada159138 ◽

1985 ◽

Author(s):

M. R. Leadbetter

Keyword(s):

Extreme Value Theory ◽

Value Theory ◽

Extreme Value

Download Full-text

Extreme Value Theory and Archimedean Copulas

Scandinavian Actuarial Journal ◽

10.1080/03461230110106534 ◽

2004 ◽

Vol 2004 (3) ◽

pp. 211-228 ◽

Cited By ~ 1

Author(s):

Mario V. Wüthrich

Keyword(s):

Extreme Value Theory ◽

Value Theory ◽

Extreme Value ◽

Archimedean Copulas

Download Full-text

Extreme Value Theory for Suprema of Random Variables with Regularly Varying Tail Probabilities.

10.21236/ada179126 ◽

1986 ◽

Author(s):

Tailen Hsing

Keyword(s):

Extreme Value Theory ◽

Random Variables ◽

Value Theory ◽

Extreme Value ◽

Tail Probabilities ◽

Regularly Varying

Download Full-text

Extreme value theory and high quantile convergence

The Journal of Operational Risk ◽

10.21314/jop.2006.009 ◽

2006 ◽

Vol 1 (2) ◽

pp. 51-57 ◽

Cited By ~ 11

Author(s):

Mikhail Makarov

Keyword(s):

Extreme Value Theory ◽

Value Theory ◽

Extreme Value ◽

High Quantile

Download Full-text

Efficient filtering of financial time series and extreme value theory

The Journal of Risk ◽

10.21314/jor.2005.107 ◽

2005 ◽

Vol 7 (2) ◽

pp. 63-84 ◽

Cited By ~ 4

Author(s):

Kaj Nyström ◽

Jimmy Skoglund

Keyword(s):

Time Series ◽

Extreme Value Theory ◽

Financial Time Series ◽

Value Theory ◽

Extreme Value ◽

Financial Time

Download Full-text

Modeling extreme returns and asymmetric dependence structures of hedge fund strategies using extreme value theory and copula theory

The Journal of Risk ◽

10.21314/jor.2010.220 ◽

2010 ◽

Vol 13 (2) ◽

pp. 23-55 ◽

Cited By ~ 5

Author(s):

Jan Viebig ◽

Thorsten Poddig

Keyword(s):

Extreme Value Theory ◽

Hedge Fund ◽

Value Theory ◽

Extreme Value ◽

Copula Theory ◽

Asymmetric Dependence ◽

Extreme Returns ◽

Dependence Structures

Download Full-text

Specification test for threshold estimation in extreme value theory

The Journal of Operational Risk ◽

10.21314/jop.2014.145 ◽

2014 ◽

Vol 9 (2) ◽

pp. 23-37

Author(s):

Lourenco Couto Miranda

Keyword(s):

Extreme Value Theory ◽

Value Theory ◽

Extreme Value ◽

Threshold Estimation ◽

Specification Test

Download Full-text

Estimating the Value-at-Risk: A Comparative Study of the Extreme Value Theory and Transformed Kernel Density Approach

SSRN Electronic Journal ◽

10.2139/ssrn.2009130 ◽

2012 ◽

Author(s):

Yi Ling Michelle-Joy Low

Keyword(s):

At Risk ◽

Comparative Study ◽

Extreme Value Theory ◽

Value At Risk ◽

Kernel Density ◽

Value Theory ◽

Extreme Value

Download Full-text

Asymmetric Exceedance-Time Model: An Optimal Threshold Approach Based on Extreme Value Theory

SSRN Electronic Journal ◽

10.2139/ssrn.3016145 ◽

2017 ◽

Author(s):

Konstantinos Gkillas ◽

Frannois M. Longin ◽

Athanasios Tsagkanos

Keyword(s):

Extreme Value Theory ◽

Value Theory ◽

Extreme Value ◽

Optimal Threshold ◽

Time Model ◽

Threshold Approach

Download Full-text

Operational Risk Measurement in Banks: An Application of Extreme Value Theory (Bankalarda Operasyonel Riskin lllmm: UU Deeer Teorisi Uygulamass)

SSRN Electronic Journal ◽

10.2139/ssrn.3013941 ◽

2007 ◽

Author(s):

Coskun KKKKkkzmen ◽

Murat Mazibas

Keyword(s):

Extreme Value Theory ◽

Operational Risk ◽

Value Theory ◽

Extreme Value ◽

Risk Measurement

Download Full-text

Prediction of Maximum Fatigue Indicator Parameters for Duplex Ti-6Al-4V Using Extreme Value Theory

SSRN Electronic Journal ◽

10.2139/ssrn.3499072 ◽

2019 ◽

Author(s):

Tang Gu ◽

Krzysztof S. Stopka ◽

Chuan Xu ◽

David L. McDowell

Keyword(s):

Extreme Value Theory ◽

Value Theory ◽

Extreme Value

Download Full-text