Search Results - subject:"gev"

Learning in random utility models via online decision problems

Melo, Emerson - 2021

Persistent link: https://www.econbiz.de/10012887608

European option pricing using Gumbel distribution

Purohit, Seema Uday; Lalit, Prasad Narahar - In: International journal of financial engineering 9 (2022) 1, pp. 1-11

Persistent link: https://www.econbiz.de/10013188781

Modeling maxima with a regime-switching Fréchet model

Tan, Keqi; Chen, Yu; Chen, Pengzhan - In: Journal of risk 25 (2022) 2, pp. 27-45

Persistent link: https://www.econbiz.de/10014342458

Specification Tests for The Multinomial Logit Model Revisited: The Role of Alternative-Specific Constants

Rouwendal, Jan - 2018

This paper shows that Hausman-McFadden and related tests for the multinomial logit model are not informative about failure of IIA, but only about specification error in the deterministic part of the utilities attached to choice alternatives. It is shown that the multinomial logit cannot be...

Persistent link: https://www.econbiz.de/10011819461

Best fitting fat tail distribution for the volatilities of energy futures: Gev, gat and stable distributions in GARCH and APARCH models

Gunay, Samet; Khaki, Audil Rashid - In: Journal of Risk and Financial Management 11 (2018) 2, pp. 1-19

models under gev, gat and alpha-stable distributions. We also applied various VaR analyses, Gaussian, Historical and Modified …

Persistent link: https://www.econbiz.de/10012611018

Best fitting fat tail distribution for the volatilities of energy futures : gev, gat and stable distributions in GARCH and APARCH models

Gunay, Samet; Khaki, Audil Rashid - In: Journal of risk and financial management : JRFM 11 (2018) 2, pp. 1-19

models under gev, gat and alpha-stable distributions. We also applied various VaR analyses, Gaussian, Historical and Modified …

Persistent link: https://www.econbiz.de/10011857131

A new procedure for variable selection in presence of rare events

Giordano, Francesco; Niglio, Marcella; Restaino, Marialuisa - In: Journal of the Operational Research Society 72 (2021) 7, pp. 1619-1636

Persistent link: https://www.econbiz.de/10012609215

Specification tests for the multinomial logit model revisited : the role of alternative-specific constants

Rouwendal, Jan - 2017 - Revision: January 29, 2018

Persistent link: https://www.econbiz.de/10011699462

Residential location econometric choice modeling with irregular zoning : common border spatial correlation metric

Pérez-López, José-Benito; Novales, Margarita; … - In: Networks and spatial economics : a journal of … 20 (2020) 3, pp. 785-802

Persistent link: https://www.econbiz.de/10012301976

Triage as a core sorting strategy in extreme core arrival scenarios

Gavidel, Saeed Z.; Rickli, J. L. - In: Journal of Remanufacturing 5 (2015) 9, pp. 1-13

(GEV) and Fréchet (Fisher-Tippett type-II) distributions. The model is applied to extreme arrivals of valves in an …

Persistent link: https://www.econbiz.de/10011615725