Results 31 to 40 of about 169,695 (257)
EconometricsThe Pareto distribution has been widely used to model income distribution and inequality. The tail index and the Gini index are typically computed by iteration using Maximum Likelihood and are usually interpreted in terms of the Lorenz curve.
Eugene Pinsky, Qifu Wen
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The Impact of industry's features on financial risk contagion of Companies Listed in Tehran Stock Exchange [PDF]
مدلسازی اقتصادسنجی, 2020 The correlation between market movements and returns is an important issue in risk management and investment portfolio strategies. Investors who try to diversify their assets in regional markets pay special attention to communications between financial ...
Mohammad Ghadamyari +1 more
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Estimation of the Tail Index of Pareto-Type Distributions Using Regularisation
Journal of Mathematics, 2022 In this paper, we introduce reduced-bias estimators for the estimation of the tail index of Pareto-type distributions. This is achieved through the use of a regularised weighted least squares with an exponential regression model for log-spacings of top ...
E. Ocran +3 more
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Energies, 2021 This study investigates the dependence between extreme returns of West Texas Intermediate (WTI) crude oil prices and the Crude Oil Volatility Index (OVX) changes as well as the predictive power of OVX to generate accurate Value at Risk (VaR) forecasts ...
Krzysztof Echaust, Małgorzata Just
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Kernel Estimates of the Tail Index of a Distribution
The Annals of Statistics, 1985 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Csorgo, Sandor +2 more
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Adjusted empirical likelihood method for the tail index of a heavy-tailed distribution [PDF]
Statistics & Probability Letters, 2019 Empirical likelihood is a well-known nonparametric method in statistics and has been widely applied in statistical inference. The method has been employed by Lu and Peng (2002) to constructing confidence intervals for the tail index of a heavy-tailed distribution.
Yizeng Li, Yongcheng Qi
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Semiparametric tail-index estimation for randomly right-truncated heavy-tailed data [PDF]
Arab Journal of Mathematical SciencesPurpose – The purpose of this paper is to propose a semiparametric estimator for the tail index of Pareto-type random truncated data that improves the existing ones in terms of mean square error.
Saida Mancer +2 more
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Tail index estimation in the presence of covariates: Stock returns’ tail risk dynamics
Journal of Econometrics, 2023 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Nicolau, João +2 more
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An Estimation of Risk Measures: Analysis of a Method
Computer Sciences & Mathematics ForumExtreme value theory comprises a set of techniques for inference at the tail of distributions, where data are scarce or non-existent. The tail index is the main parameter, with risk measures such as value at risk or expected shortfall depending on it. In
Marta Ferreira, Liliana Monteiro
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Statistics of geomagnetic storms: Global simulations perspective
Frontiers in Astronomy and Space Sciences, 2022 We present results of 131 geomagnetic storm simulations using the University of Michigan Space Weather Modeling Framework Geospace configuration. We compare the geomagnetic indices derived from the simulation with those observed, and use 2D cuts in the ...
Tuija I. Pulkkinen +4 more
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