Results 81 to 90 of about 11,382,347 (247)
Extreme Value GARCH modelling with Bayesian Inference [PDF]
Extreme value theory is widely used financial applications such as risk analysis, forecasting and pricing models. One of the major difficulties in the applications to finance and economics is that the assumption of independence of time series ...
Les Oxley +3 more
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Crisis, Value at Risk and Conditional Extreme Value Theory via the NIG + Jump Model
, 2012 This study develops a new conditional extreme value theory-based model (EVT) combined with the NIG + Jump model to forecast extreme risks. This paper utilizes the NIG + Jump model to asymmetrically feedback the past realization of jump innovation to the ...
Ze-To, S.
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Arthritis Care &Research, EarlyView.Objective Youth who experience a sport‐related knee injury have elevated odds of becoming overweight or developing obesity in 3 to 10 years, compounding their risk for posttraumatic osteoarthritis (PTOA). To inform prevention strategies, this study compared patterns of adiposity change between youth with a sport‐related knee injury and uninjured youth ...
Justin M. Losciale +6 more
wiley +1 more source
Extreme Value Theory and Value at Risk : Application to Oil Market [PDF]
Recent increases in energy prices, especially oil prices, have become a principal concern for consumers, corporations, and governments. Most analysts believe that oil price fluctuations have considerable consequences on economic activity.
Abdelwahed Trabelsi +2 more
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Analytical first-screening of distributed generation hosting capacity via extreme-value theory
International Journal of Electrical Power & Energy SystemsAgainst the backdrop of large-scale interconnection requests for distributed generation (DG), there is a growing demand for rapid assessment of distribution network hosting capacity (DGHC).
Xin Ma +4 more
doaj +1 more source
A Comparative Analysis of Value at Risk Measurement on Emerging Stock Markets: Case of Montenegro
Business Systems Research, 2015 Background: The concept of value at risk gives estimation of the maximum loss of financial position at a given time for a given probability. The motivation for this analysis lies in the desire to devote necessary attention to risks in Montenegro, and to ...
Cerović Julija +2 more
doaj +1 more source
Drought risk probabilistic models based on extreme value theory. [PDF]
Environ Sci Pollut Res Int, 2023 Piwowar A, Kuźmiński Ł.
europepmc +1 more source
Advanced Engineering Materials, EarlyView.Predicting extreme defects in additive manufacturing remains a key challenge limiting its structural reliability. This study proposes a statistical framework that integrates Extreme Value Theory with advanced process indicators to explore defect–process relationships and improve the estimation of critical defect sizes. The approach provides a basis for
Muhammad Muteeb Butt +8 more
wiley +1 more source
Extreme Value Index Estimators and Smoothing Alternatives: Review and Simulation Comparison [PDF]
Extreme-value theory and corresponding analysis is an issue extensively applied in many different fields. The central point of this theory is the estimation of a parameter γ, known as extreme-value index.
Panaretos, John, Tsourti, Zoi
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The new hybrid value at risk approach based on the extreme value theory
Estudios de Economía, 2016 In this paper the authors introduce a new hybrid approach based on the Extreme Value Theory (EVT) to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high quantiles of return distributions.
Nikola Radivojević +2 more
doaj