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Improved estimation of the extreme value index using related variables

Ahmed, Hanan; Einmahl, John H. J. - 2018

Persistent link: https://www.econbiz.de/10011879741

Haezendonck-Goovaerts risk measure with a heavy tailed loss

Liu, Qing; Peng, Liang; Wang, Xing - In: Insurance / Mathematics & economics 76 (2017), pp. 28-47

Persistent link: https://www.econbiz.de/10011774767

Parametric inference for index functionals

Guerrier, Stéphane; Orso, Samuel; Victoria-Feser, Maria-Pia - In: Econometrics : open access journal 6 (2018) 2, pp. 1-11

bootstrap, in the case of inequality indices. To estimate the parameters of the assumed parametric data generating distribution … inequality index. Its primary advantage is that the scale parameter does not need to be estimated to perform parametric bootstrap … suggest that this feature provides an advantage over the parametric bootstrap using the maximum likelihood estimator. We also …

Persistent link: https://www.econbiz.de/10011823357

Características estadísticas del índice general de la Bolsa de Valores de Colombia (IGBC) en sus primeros 10 años

Alonso, Julio; Torres, Giselle - In: Journal of economics, finance & administrative science 19 (2014) 36, pp. 45-54

There are many studies published in the literature on stylized facts in financial time series. However, for the Colombian case there is only one work that documents the stylized facts of the returns. Alonso and Arcos (2006) documented the presence of four stylized facts in the exchange rate...

Persistent link: https://www.econbiz.de/10011872477

Regular variation of popular GARCH processes allowing for distributional asymmetry

Prono, Todd - 2017 - First version: August 2017

Linear GARCH(1,1) and threshold GARCH(1,1) processes are established as regularly varying, meaning their heavy tails are Pareto like, under conditions that allow the innovations from the, respective, processes to be skewed. Skewness is considered a stylized fact for many financial returns...

Persistent link: https://www.econbiz.de/10011803123

Extreme Events and the Copula Pricing of Commercial Mortgage-Backed Securities

Liu, Zhan; Fan, Gang-Zhi; Lim, Kian - In: The Journal of Real Estate Finance and Economics 38 (2009) 3, pp. 327-349

Commercial mortgage-backed securities (CMBS), as a portfolio-based financial product, have gained great popularity in financial markets. This paper extends Childs, Ott and Riddiough’s (J Financ Quant Anal, 31(4), 581–603, <CitationRef CitationID="CR8">1996</CitationRef>) model by proposing a copula-based methodology for pricing CMBS...</citationref>

Persistent link: https://www.econbiz.de/10010989325

A skew extension of the slash distribution via beta-normal distribution

Genç, Ali - In: Statistical Papers 54 (2013) 2, pp. 427-442

In this work we introduce a generalization of the slash distribution using beta-normal distribution. This newly defined generalization is more flexible than the ordinary slash distribution and contains distributions that can be not only symmetric and unimodal, but also asymmetric and bimodal. We...

Persistent link: https://www.econbiz.de/10010848052

Packet reordering in networks with heavy-tailed delays

Lelarge, Marc - In: Mathematical Methods of Operations Research 67 (2008) 2, pp. 341-371

An important characteristic of any TCP connection is the sequencing of packets within that connection. Out-of sequence packets indicate that the connection suffers from loss, duplication or reordering. More generally, in many distributed applications information integrity requires that data...

Persistent link: https://www.econbiz.de/10010999758

Goodness-of-fit tests for a heavy tailed distribution

Koning, Koning, A.J.; Peng, Peng, L. - Faculteit der Economische Wetenschappen, Erasmus … - 2005

For testing whether a distribution function is heavy tailed, we study the Kolmogorov test, Berk-Jones test, score test and their integrated versions. A comparison is conducted via Bahadur efficiency and simulations. The score test and the integrated score test show the best performance. Although...

Persistent link: https://www.econbiz.de/10010731803

Deciding when defence in depth control strategies are necessary for risk management and crisis response

Seidl, Marcus; Wang, Xiang - In: International journal of risk assessment and management … 26 (2023) 1, pp. 44-57

Defence in depth is a time-tested strategy in some technical fields, such as cybersecurity or nuclear reactor technology. In view of potentially devasting consequences of exponential growth, the implementation of such a strategy is almost self-evident in this case. Less obvious is a formal...

Persistent link: https://www.econbiz.de/10014312164