. Asymptotically, the quantile-based realised variance is immune to finite activity jumps and outliers in the price series, while in …

volatility over time. This study assesses the impact of structural changes and outliers on volatility persistence of three crude … volatility model. Secondly, we identify outliers using intervention analysis and conditional heteroscedasticity model. These … announcements on crude inventories. We show that outliers can bias the estimation of the persistence of the volatility. Taking into …

interpretation and classification of these different shapes. Fourth, we find that the existence of some outliers in the one …

. Asymptotically, the quantile-based realised variance is immune to finite activity jumps and outliers in the price series, while in …

, and propose a two pattern model to characterize loss distribution functions associated to operational risks : a lognormal …

to model the tail of the loss distribution function. We focus on the Generalized Pareto Distribution (GPD) and use an …

available to banks to build the Loss Distribution are Internal Loss Data, External Loss Data, and Scenario Analysis. This paper … proposes an innovative methodology to bring together these three different sources in the Loss Distribution Approach (LDA … used as the prior distribution and the internal loss data inform the likelihood component of the second posterior. This …

measure associated to these risks lies on the knowledge of the so-called Loss Distribution Function. Traditionally this …

measure associated to these kinds of risks lies in the knowledge of the so-called loss distribution function (LDF …