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Extreme Returns From Extreme Value Stocks
The Journal of Investing, 2005Investigations into value-based ‘anomalies’ such as the P/E effect typically sort shares into quintiles, or at most deciles. These are blunt instruments. We test whether most of the extra value in the lower end of the P/E spectrum is to be found in the very lowest P/E shares, and whether the worst investments reside in the few shares with the highest P/
Anderson, K., Brooks, Chris
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Testing Extreme Value Conditions
Extremes, 2002A modification of the Cramér-von Mises statistics for testing the tail behaviour of i.i.d. sample CDF \(F\) is considered. Its version for nonnegative tail index \(\gamma\) is of the form \[ T_{k,n}=\int \left( {1\over \hat\gamma} (\log X_{n-[kt],n}-\log X_{n-k,n})+\log t \right)^2 t^2\, dt, \] where \(X_{i,n}\) is the \(i\)th order statistics, \(\hat ...
Dietrich, D +2 more
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Siberian Mathematical Journal, 2004
Summary: It is shown that every finite-dimensional skew field whose center is an extremal valued field is defect free. We construct an example of an algebraically complete valued field such that a finite-dimensional skew field over it has a non-trivial defect, that is, there exist algebraically complete valued fields that are not extremal.
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Summary: It is shown that every finite-dimensional skew field whose center is an extremal valued field is defect free. We construct an example of an algebraically complete valued field such that a finite-dimensional skew field over it has a non-trivial defect, that is, there exist algebraically complete valued fields that are not extremal.
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Extremes, 2000
For the extreme value distribution (EVD) and the generalized Pareto distribution (GPD) with scale and location parameters asymptotically uniformly optimal tests for one-sided and two-sided hypotheses on the shape parameter are considered. Using the local asymptotic normality (LAN) property the author derives the asymptotic power of the tests under ...
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For the extreme value distribution (EVD) and the generalized Pareto distribution (GPD) with scale and location parameters asymptotically uniformly optimal tests for one-sided and two-sided hypotheses on the shape parameter are considered. Using the local asymptotic normality (LAN) property the author derives the asymptotic power of the tests under ...
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2019
This chapter discusses a statistical modeling strategy based on extreme value theory to describe the behavior of data far in the tails of the distributions, with a particular emphasis on large claims in property and casualty insurance and mortality at oldest ages in life insurance.
Michel Denuit +2 more
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This chapter discusses a statistical modeling strategy based on extreme value theory to describe the behavior of data far in the tails of the distributions, with a particular emphasis on large claims in property and casualty insurance and mortality at oldest ages in life insurance.
Michel Denuit +2 more
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2003
One of the goals of financial risk management is the accurate calculation of the magnitudes and probabilities of large potential losses due to extreme events such as stock market crashes, currency crises, trading scandals, or large bond defaults. In statistical terms, these magnitudes and probabilities are high quantiles and tail probabilities of the ...
Eric Zivot, Jiahui Wang
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One of the goals of financial risk management is the accurate calculation of the magnitudes and probabilities of large potential losses due to extreme events such as stock market crashes, currency crises, trading scandals, or large bond defaults. In statistical terms, these magnitudes and probabilities are high quantiles and tail probabilities of the ...
Eric Zivot, Jiahui Wang
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2018
This Capstone chapter illustrates how concepts in the book come together to diagnose real-world dynamics from observed time series data. In particular, we apply NLTS to diagnose multi-strain infectious disease dynamics from weekly cases of scarlet fever, measles, and pertussis in New York during the pre-vaccine period 1924-1948.
Ray Huffaker +2 more
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This Capstone chapter illustrates how concepts in the book come together to diagnose real-world dynamics from observed time series data. In particular, we apply NLTS to diagnose multi-strain infectious disease dynamics from weekly cases of scarlet fever, measles, and pertussis in New York during the pre-vaccine period 1924-1948.
Ray Huffaker +2 more
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Extreme value statistics of correlated random variables: A pedagogical review
Physics Reports, 2020Satya N Majumdar +2 more
exaly
2013
Modeling of extreme events is a challenging statistical task. Firstly, there is always a limit number of observations and secondly therefore no experience to back test the result. One way of estimating higher quantiles is to fit one of theoretical distributions to the data and extrapolate to the tail.
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Modeling of extreme events is a challenging statistical task. Firstly, there is always a limit number of observations and secondly therefore no experience to back test the result. One way of estimating higher quantiles is to fit one of theoretical distributions to the data and extrapolate to the tail.
openaire +1 more source