Using daily observations of the index and stock market returns for the Peruvian case from January 3, 1990 to May 31, 2013, this paper models the distribution of daily loss probability, estimates maximum quantiles and tail probabilities of this distribution, and models the extremes through a...

Extreme value theory for a class of EGARCH processes is developed. It is shown that the EGARCH process as well as the logarithm of its conditional variance lie in the domain of attraction of the Gumbel distribution. Norming constants are obtained and it is shown that the considered processes...

The multinomial logit model in discrete choice analysis is widely used in transport research. It has long been known that the Gumbel distribution forms the basis of the multinomial logit model. Although the Gumbel distribution is a good approximation in some applications such as route choice...

Using daily observations of the index and stock market returns for the Peruvian case from January 3, 1990 to May 31, 2013, this paper models the distribution of daily loss probability, estimates maximum quantiles and tail probabilities of this distribution, and models the extremes through a...

Snow depth records from daily measurements at climatological stations were obtained from Environment Canada and were processed and analyzed. It was identified that there are 549 stations, each with at least 20 years of useable annual maximum snow depth data. Both the Gumbel distribution and...

In this paper the scaling hypotheses are applied to annual maximum series of rainfall depth for different rainfall duration to derive the depth–duration–frequency (DDF) curve. It is shown that, based on the empirically observed scaling properties of rainfall and some general assumptions...

A bivariate extreme value distribution, namely theGumbel mixed model constructed from Gumbel marginaldistributions is employed to analyze the joint distributionof correlated storm peak (maximum rainfall intensity) andamount. Based on its marginal distributions, the jointdistribution, the...

Flood events of the Pachang River, one of the major rivers in Taiwan, are modeled by extreme value distributions. Flood events are characterized by its peak, volume, duration and the time of peak. Flood volume and peak are fitted to a generalized extreme value distribution. Flood duration and...