Performance Analysis of VaR and ES Based on Extreme Value Theory

Sung-Chil Yeo

doi:10.5351/ckss.2006.13.2.389

Performance Analysis of VaR and ES Based on Extreme Value Theory

Communications for Statistical Applications and Methods ◽

10.5351/ckss.2006.13.2.389 ◽

2006 ◽

Vol 13 (2) ◽

pp. 389-407 ◽

Cited By ~ 1

Author(s):

Sung-Chil Yeo

Keyword(s):

Performance Analysis ◽

Extreme Value Theory ◽

Value Theory ◽

Extreme Value

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Estimation and Performance Analysis of Risk Measures using Copula and Extreme Value Theory

Korean Journal of Applied Statistics ◽

10.5351/kjas.2006.19.3.481 ◽

2006 ◽

Vol 19 (3) ◽

pp. 481-504 ◽

Cited By ~ 2

Keyword(s):

Performance Analysis ◽

Extreme Value Theory ◽

Risk Measures ◽

Value Theory ◽

Extreme Value ◽

And Performance

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Extreme value theory applied to police performance analysis

Journal of Criminal Justice ◽

10.1016/0047-2352(77)90061-7 ◽

1977 ◽

Vol 5 (4) ◽

pp. 287-300 ◽

Cited By ~ 3

Author(s):

Robert P. Eckert ◽

Peter M. Kelly

Keyword(s):

Performance Analysis ◽

Extreme Value Theory ◽

Value Theory ◽

Extreme Value ◽

Police Performance

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GIG network and application system performance analysis using extreme value theory

MILCOM 2008 - 2008 IEEE Military Communications Conference ◽

10.1109/milcom.2008.4753155 ◽

2008 ◽

Author(s):

Jinghong Kang ◽

Bradley N. Dunn

Keyword(s):

Performance Analysis ◽

Extreme Value Theory ◽

System Performance ◽

Value Theory ◽

Extreme Value ◽

Application System

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Spectrum-Sharing Multi-Hop Cooperative Relaying: Performance Analysis Using Extreme Value Theory

IEEE Transactions on Wireless Communications ◽

10.1109/twc.2013.112013.130357 ◽

2014 ◽

Vol 13 (1) ◽

pp. 234-245 ◽

Cited By ~ 17

Author(s):

Minghua Xia ◽

Sonia Aissa

Keyword(s):

Performance Analysis ◽

Extreme Value Theory ◽

Spectrum Sharing ◽

Value Theory ◽

Extreme Value ◽

Cooperative Relaying

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Cooperative Relaying with Energy Harvesting: Performance Analysis Using Extreme Value Theory

2019 IEEE 89th Vehicular Technology Conference (VTC2019-Spring) ◽

10.1109/vtcspring.2019.8746624 ◽

2019 ◽

Author(s):

Zhiwei Liu ◽

Peiran Wu ◽

Daniel B. da Costa ◽

Minghua Xia

Keyword(s):

Performance Analysis ◽

Energy Harvesting ◽

Extreme Value Theory ◽

Value Theory ◽

Extreme Value ◽

Cooperative Relaying

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Asymptotic Performance Analysis of the $k$th Best Link Selection Over Wireless Fading Channels: An Extreme Value Theory Approach

IEEE Transactions on Vehicular Technology ◽

10.1109/tvt.2018.2798501 ◽

2018 ◽

Vol 67 (7) ◽

pp. 6652-6657 ◽

Cited By ~ 3

Author(s):

Yazan H. Al-Badarneh ◽

Costas N. Georghiades ◽

Mohamed-Slim Alouini

Keyword(s):

Performance Analysis ◽

Fading Channels ◽

Extreme Value Theory ◽

Value Theory ◽

Extreme Value ◽

Theory Approach ◽

Asymptotic Performance

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Launch Vehicle Performance Analysis using Extreme Value Theory

AIAA SPACE 2015 Conference and Exposition ◽

10.2514/6.2015-4679 ◽

2015 ◽

Cited By ~ 1

Author(s):

Michael J. Steffens ◽

Dimitri N. Mavris

Keyword(s):

Performance Analysis ◽

Extreme Value Theory ◽

Launch Vehicle ◽

Value Theory ◽

Extreme Value ◽

Vehicle Performance

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PERFORMANCE ANALYSIS OF TASK REPLICATION IN LARGE-SCALE PARALLEL-DISTRIBUTED PROCESSING: AN EXTREME VALUE THEORY APPROACH

Journal of the Operations Research Society of Japan ◽

10.15807/jorsj.59.174 ◽

2016 ◽

Vol 59 (2) ◽

pp. 174-194

Author(s):

Tsuguhito Hirai ◽

Hiroyuki Masuyama ◽

Shoji Kasahara ◽

Yutaka Takahashi

Keyword(s):

Performance Analysis ◽

Extreme Value Theory ◽

Large Scale ◽

Distributed Processing ◽

Value Theory ◽

Extreme Value ◽

Theory Approach ◽

Parallel Distributed Processing ◽

Task Replication

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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

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Extreme Value Theory and Dependence.

10.21236/ada159138 ◽

1985 ◽

Author(s):

M. R. Leadbetter

Keyword(s):

Extreme Value Theory ◽

Value Theory ◽

Extreme Value

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