Results 21 to 30 of about 492,581 (337)
Bootstrapping Time-Varying Uncertainty Intervals for Extreme Daily Return Periods
International Journal of Financial Studies, 2022 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.
Katleho Makatjane, Tshepiso Tsoku
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Extreme Value Theory and the Solar Cycle [PDF]
, 2007 We investigate the statistical properties of the extreme events of the solar cycle as measured by the sunspot number. The recent advances in the methodology of the theory of extreme values is applied to the maximal extremes of the time series of sunspots.
A. Asensio Ramos +16 more
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Modeling Insurance Claims Distribution through Combining Generalized Hyperbolic Skew-t Distribution with Extreme Value Theory [PDF]
تحقیقات مالی, 2016 This paper examines whether combining Generalized Hyperbolic Skew-t distribution, recently introduced in the field of insurance, and Extreme Value Theory (EVT) could result in a modeling of loss function that could model central value as well as extreme ...
Saeed Bajalan +2 more
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Modeling climate extremes using the four-parameter kappa distribution for r-largest order statistics
Weather and Climate Extremes, 2023 Accurate estimation of the T-year return levels of climate extremes using statistical distribution is a critical step in the projection of future climate and in engineering design for disaster response.
Yire Shin, Jeong-Soo Park
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An application of extreme value theory in modelling extreme share returns [PDF]
, 2008 Extreme value theory (EVT) methods are used to investigate the asymptotic distribution/s of the extreme minima and maxima of the Athens Stock Exchange daily returns over the period 1976–2001.
Tolikas, K
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Al-Jabar, 2016 Extreme event such as extreme rainfall have been analyzed and most concern for the country all around the world. There are two common distribution for extreme value which are Generalized Extreme Value distribution and Generalized Pareto distribution ...
Achi Rinaldi
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暴雨灾害, 2022 The study on the return period of extreme precipitation can improve the understanding of precipitation regularity, which is of great significance for preventing urban waterlogging, farmland waterlogging.
Pan CHENG +5 more
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Mixing properties in the advection of passive tracers via recurrences and extreme value theory [PDF]
, 2014 In this paper we characterize the mixing properties in the advection of passive tracers by exploiting the extreme value theory for dynamical systems. With respect to classical techniques directly related to the Poincar\'e recurrences analysis, our method
Faranda, Davide +2 more
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An Overview of Statistical Methods for Studying the Extreme Rainfalls in Mediterranean
Proceedings, 2017 Extreme rainfall is one of the most devastating natural events. The frequency and intensity of these events has increased. This trend will likely continue as the effects of climate change become more pronounced.
Georgia Lazoglou +1 more
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New Generalized Extreme Value Distribution and its Bivariate Extension
International Journal of Computer Applications, 2017 H. S., Mohamed Abouhawwash, A. H.
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