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This paper investigates the clustering or dependency of extremes in financial returns by estimating the extremal index … dependency structure of financial returns data and the proprieties of the extremes returns. Moreover, understanding clustering of … value, in which smaller values of the extremal index correspond to more clustering. We apply the interval estimator method …
Persistent link: https://www.econbiz.de/10012309278
functionals of clusters of extremes, thereby generalizing results for higher-order stationary Markov chains by S.Yun (2000), J …
Persistent link: https://www.econbiz.de/10011091445
returns. Such clustering can have grave financial consequences if not taken into account. The new risk measures are shown to … develop prediction tools for the extremes of dependent data with a focus on the financial risk management applications. In the … extremes for many stationary time series. It is shown to be consistent and asymptotically normal for m-dependent time series …
Persistent link: https://www.econbiz.de/10009477100
Assume that claims in a portfolio of insurance contracts are described by independent and identically distributed random variables with regularly varying tails and occur according to a near mixed Poisson process. We provide a collection of results pertaining to the joint asymptotic Laplace...
Persistent link: https://www.econbiz.de/10010421282
Persistent link: https://www.econbiz.de/10011350125
Assume that claims in a portfolio of insurance contracts are described by independent and identically distributed random variables with regularly varying tails and occur according to a near mixed Poisson process. We provide a collection of results pertaining to the joint asymptotic Laplace...
Persistent link: https://www.econbiz.de/10010400269
Persistent link: https://www.econbiz.de/10010437592
Persistent link: https://www.econbiz.de/10012804089
Persistent link: https://www.econbiz.de/10012618802
‘illusion of control'; (iv) herding and imitation through social media and (v) management shaped by extremes and overreaction …
Persistent link: https://www.econbiz.de/10012271226