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Search: subject:"extreme value distribution"
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Theorie
Extreme value distribution
27
Statistical distribution
19
Statistische Verteilung
19
extreme value distribution
18
Ausreißer
16
Outliers
16
Generalized extreme value distribution
15
Theory
13
generalized extreme value distribution
13
Estimation
11
Schätzung
11
Risikomaß
9
Risk measure
9
extreme value theory
9
ARCH model
6
ARCH-Modell
6
Capital income
6
Gumbel distribution
6
Kapitaleinkommen
6
generalised extreme value distribution
6
Probability theory
5
Value-at-Risk
5
Wahrscheinlichkeitsrechnung
5
Weibull distribution
5
Dummy variable
4
Estimation theory
4
Extreme value theory
4
Forecasting model
4
GARCH-t
4
Generalized Autoregressive Conditional Heteroskedasticity
4
Markov chain
4
Markov-Kette
4
Outlier detection
4
Prognoseverfahren
4
Risikomanagement
4
Risk management
4
Schätztheorie
4
Strong approximation
4
Aktienindex
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English
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Calabrese, Raffaella
3
Makatjane, Katleho
2
Anzarut, Michelle
1
Ardakani, Omid M.
1
Asimit, Alexandru V.
1
Beckert, Walter
1
Chen, Rong
1
Chikobvu, Delson
1
Chinhamu, Knowledge
1
Giudici, Paolo
1
Hammujuddy, Jahvaid
1
Hashorva, Enkelejd
1
Huang, Chun-Kai
1
Huang, Chun-Sung
1
Jakata, Owen
1
Kortschak, Dominik
1
Lee, Ho Jin
1
McCollum, Meagan N.
1
Mena, Ramsés H.
1
Moroke, Ntebogang Dinah
1
Nava, Consuelo Rubina
1
Osmetti, Silvia Angela
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Pace, R. Kelley
1
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International Journal of Financial Studies : open access journal
2
Birkbeck working papers in economics and finance : BWPEF
1
Economics letters
1
IMA journal of management mathematics
1
International journal of applied management science : IJAMS
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of econometrics
1
Journal of forecasting
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Journal of the Operational Research Society : OR
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Regional science & urban economics
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The Korean economic review
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The South African journal of economics
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ECONIS (ZBW)
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1
Bootstrapping time-varying uncertainty intervals for extreme daily return periods
Makatjane, Katleho
- In:
International Journal of Financial Studies : open …
10
(
2022
)
1
,
pp. 1-23
score-generalized
extreme
value
distribution
(SARIMA-GAS-GEVD) with a skewed student-t distribution had the best prediction …
Persistent link: https://www.econbiz.de/10012804913
Saved in:
2
Predicting extreme daily regime shifts in financial time series exchange/Johannesburg stock exchange : all share index
Makatjane, Katleho
;
Moroke, Ntebogang Dinah
- In:
International Journal of Financial Studies : open …
9
(
2021
)
2
,
pp. 1-18
heteroscedasticity-generalised
extreme
value
distribution
(SARIMA-MS-EGARCH-GEVD) estimates. A time series of the study is a five …
Persistent link: https://www.econbiz.de/10012508859
Saved in:
3
Capturing information in extreme events
Ardakani, Omid M.
- In:
Economics letters
231
(
2023
),
pp. 1-5
Persistent link: https://www.econbiz.de/10014461218
Saved in:
4
Extreme value modelling of the South African Industrial Index (J520) returns using the generalised
extreme
value
distribution
Jakata, Owen
;
Chikobvu, Delson
- In:
International journal of applied management science : IJAMS
14
(
2022
)
4
,
pp. 299-315
Persistent link: https://www.econbiz.de/10014231227
Saved in:
5
Closed form solutions for the generalized
extreme
value
distribution
Beckert, Walter
;
Takahashi, Yuya
-
2015
Persistent link: https://www.econbiz.de/10011343428
Saved in:
6
Mortgage default decisions in the presence of non-normal, spatially dependent disturbances
Calabrese, Raffaella
;
McCollum, Meagan N.
;
Pace, R. Kelley
- In:
Regional science & urban economics
76
(
2019
),
pp. 103-114
Persistent link: https://www.econbiz.de/10012267362
Saved in:
7
Modeling maxima with autoregressive conditional Fréchet model
Zhao, Zifeng
;
Zhang, Zhengjun
;
Chen, Rong
- In:
Journal of econometrics
207
(
2018
)
2
,
pp. 325-351
Persistent link: https://www.econbiz.de/10012116357
Saved in:
8
Poisson-driven stationary Markov models
Anzarut, Michelle
;
Mena, Ramsés H.
;
Nava, Consuelo Rubina
- In:
Journal of business & economic statistics : JBES ; a …
36
(
2018
)
4
,
pp. 684-694
Persistent link: https://www.econbiz.de/10012249233
Saved in:
9
Aggregation of randomly weighted large risks
Asimit, Alexandru V.
;
Hashorva, Enkelejd
;
Kortschak, Dominik
- In:
IMA journal of management mathematics
28
(
2017
)
3
,
pp. 403-419
Persistent link: https://www.econbiz.de/10011774250
Saved in:
10
Semi-parametric method for estimating tail related risk measures in the stock market
Lee, Ho Jin
- In:
The Korean economic review
32
(
2016
)
2
,
pp. 295-329
Persistent link: https://www.econbiz.de/10011649371
Saved in:
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