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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

'' modification of common test statistics makes inward sequential testing -- formerly relegated within the literature since the … does not require the complicated type 1 error control of outward tests. A variety of test statistics, employed in both … (Exponential/Pareto), exposing high potential for errors in inference. Further, in five case studies -- financial crashes, nuclear …

Persistent link: https://www.econbiz.de/10011411972

Contributions to modeling extreme events on financial and electricity markets : [kumulative Dissertation]

Korniichuk, Volodymyr - 2013

Persistent link: https://www.econbiz.de/10010464305

Dependence structure between oil and other commodity futures in China based on extreme value theory and copulas

Hussain, Saiful Izzuan; Li, Steven - In: The world economy : the leading journal on … 45 (2022) 1, pp. 317-335

Persistent link: https://www.econbiz.de/10012818942

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

This study aims to overcome the problem of dimensionality, accurate estimation, and forecasting Value-at-Risk (VaR) and Expected Shortfall (ES) uncertainty intervals in high frequency data. A Bayesian bootstrapping and backtest density forecasts, which are based on a weighted threshold and...

Persistent link: https://www.econbiz.de/10012804913

Nonparametric inference for extremal conditional quantiles

Kurisu, Daisuke; Otsu, Taisuke - 2021

Persistent link: https://www.econbiz.de/10012627480

Leave-one-out kernel density estimates for outlier detection

Kandanaarachchi, Sevvandi; Hyndman, Rob J. - 2021

Persistent link: https://www.econbiz.de/10012614493

Best-arm identification using extreme value theory estimates of the CVaR

Troop, Dylan; Godin, Frédéric; Yu, Jia Yuan - In: Journal of risk and financial management : JRFM 15 (2022) 4, pp. 1-15

We consider a risk-aware multi-armed bandit framework with the goal of avoiding catastrophic risk. Such a framework has multiple applications in financial risk management. We introduce a new conditional value-at-risk (CVaR) estimation procedure combining extreme value theory with automated...

Persistent link: https://www.econbiz.de/10013273036

Extreme value theory for operational risk in insurance : a case study

Vyskočil, Michal; Koudelka, Jiří - In: The journal of operational risk 16 (2021) 4, pp. 1-26

Persistent link: https://www.econbiz.de/10013177451

Measurement of extreme market risk : insights from a comprehensive literature review

Chakraborty, Gourab; Chandrashekhar, G. R.; … - In: Cogent economics & finance 9 (2021) 1, pp. 1-24

The experience of past financial market turmoil suggests that in addition to eroding investor wealth, the severe consequences of rare extreme market events can spillover and impair the broader real economies. In this context, this paper is an evaluation of the methodological and empirical...

Persistent link: https://www.econbiz.de/10013183970

Nonparametric tests of tail behavior in stochastic frontier models

Horrace, William C.; Wang, Yulong - In: Journal of applied econometrics 37 (2022) 3, pp. 537-562

Persistent link: https://www.econbiz.de/10013186698