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A tale of two tails : explaining extreme events in financialized agricultural markets
Algieri, Bernardina; Kalkuhl, Matthias; Koch, Nikolas - In: Food policy : economics planning and politics of food … 69 (2017), pp. 256-269
Persistent link: https://www.econbiz.de/10011797967
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Logit models : smallest versus largest extreme value error distributions
Hu, Wuyang - In: Applied economics letters 12 (2005) 12, pp. 741-744
Persistent link: https://www.econbiz.de/10003158116
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Assessing the discriminatory power of credit scores
Kraft, Holger; Kroisandt, Gerald; Müller, Marlene - 2002
Persistent link: https://www.econbiz.de/10001730268
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Statistical aspects of setting up a credit rating system
Clavero Rasero, Beatriz (contributor) - 2006
Persistent link: https://www.econbiz.de/10003467115
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Extreme values of tail probabilities
De Schepper, Ann; Heijnen, Bart - 1991
Persistent link: https://www.econbiz.de/10000880750
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Consistent empirical estimators of multivariate extreme value distribution
Haan, Laurens de; Resnick, Sidney I. - 1991
Persistent link: https://www.econbiz.de/10000842077
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Tail distribution of the maximum of correlated Gaussian random variables
Botev, Zdravko I.; Mandjes, Michel; Ridder, Ad - 2015
In this article we consider the efficient estimation of the tail distribution of the maximum of correlated normal random variables. We show that the currently recommended Monte Carlo estimator has difficulties in quantifying its precision, because its sample variance estimator is an inefficient...
Persistent link: https://www.econbiz.de/10011431354
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Value at Risk and expected shortfall of firms in the main European Union stock market indexes : a detailed analysis by economic sectors and geographical situation
Iglesias, Emma M. - In: Economic modelling 50 (2015), pp. 1-8
Persistent link: https://www.econbiz.de/10011439601
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Modelling tail behavior of returns using the generalized extreme value distribution
Makhwiting, Monnye Rhoda; Sigauke, Caston; Lesaoana, Maseka - In: Economics, management and financial markets 9 (2014) 1, pp. 41-52
Persistent link: https://www.econbiz.de/10011543664
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Multiple outlier detection in samples with Exponential & Pareto tails : redeeming the inward approach & detecting Dragon Kings
Wheatley, Spencer; Sornette, Didier - 2015
We consider the detection of multiple outliers in Exponential and Pareto samples -- as well as general samples that … block and sequential tests, are compared for their power and errors, in cases including no outliers, dispersed outliers (the … classical slippage alternative), and clustered outliers (a case seldom considered). We advocate a density mixture approach for …
Persistent link: https://www.econbiz.de/10011411972