Search Results - "extreme value theory"

Catastrophe Bond Pricing: An Application of Extreme Value Theory by Ong, Sze En

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Catasrophe Bond Pricing: An Application of Extreme Value Theory by Ong, Sze En

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An offspring of multivariate extreme value theory: the max-characteristic function by Falk, Michael, Stupfler, Gilles

Subjects: “…Multivariate extreme-value theory; Max-characteristic function; Wasserstein metric; Convergence…”
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Extreme value theory for modeling and prediction of high PM10 concentration in Johor by Mohd Amin, Nor Azrita, Adam, Mohd Bakri, Aris, Ahmad Zaharin

“…When consider the extreme level of pollutant concentration, the Extreme Value Theory (EVT) is a best solution to model the extreme data and predict the level of dangerous concentration. …”
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Value at risk measure on oil price by using extreme value theory approach by Jajiman, Putra Nor Hakimi, Ling, Wendy Shinyie, Buliah, Nur Amirah

“…This study utilises Value at Risk (VaR) as a measure of risk. Extreme Value Theory (EVT) is used to improve the reliability of the risk measurement. …”
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Analysis of pm10 using extreme value theory / Hasfazilah Ahmat ... [et al.] by Ahmat, Hasfazilah, Yahaya, Ahmad Shukri, Ramli, Nor Azam, Mohamad Japeri, Ahmad Zia Ul-Saufie, Abdul Hamid, Hazrul

“…The literature review had identified that the extreme value theory is widely used in hydrological studies. …”
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Financial risk evaluations in Malaysian Stock Exchange using extreme-value theory and component-ARCH Model by Chin, Wen Cheong, Zaidi Isa, Abu Hassan Shaari Mohd Nor

“…This study investigates the value-at-risk (VaR) using nonlinear time-varying volatility (ARCH model) and extreme-value-theory (EVT) methodologies. Similar VaR estimation and prediction are observes under the EVT and heavy-tailed long-memory ARCH approaches. …”
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Modified boxplot and stairboxplot for generalized extreme value distribution by Babura, Babangida Ibrahim

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Goodness-of-fit tests for extreme value distributions by Zainal Abidin, Nahdiya

Subjects: “…Extreme value theory…”
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Extreme air pollutant data analysis using classical and Bayesian approaches by Mohd Amin, Nor Azrita

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Assessing the Performance of Value-at-Risk Models in Chinese Stock Market by Lin, Lin

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Functional data analysis for extreme data by Mohamad Adnan, Noor Izyan, Adam, Mohd. Bakri, Ishak, Mohd. Yusoff, Ibrahim, Noor Akma, Azmai, Mohammad Noor Amal

Subjects: “…Functional data analysis; Extreme values theory; Fourier series; Generalize cross-validation…”
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Functional extreme rainfall data in Petaling Jaya by Mohamad Adnan, Noor Izyan, Adam, Mohd Bakri, Ibrahim, Noor Akma, Ishak, Mohd Yusoff, Azmai, Mohammad Noor Amal

“…This research implements two important main fields of the study which is functional data analysis and extreme value theory. The aims of this study are to convert the extreme rainfall data into functions and to propose method development for functional data analysis in extreme value theory. …”
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Spatial Variations in the Acoustic Peak Pressure of Impulsive Low Frequency Anthropogenic Signals in Underwater Marine Environments by Galindo Romero, Marta

“…The method is based on the correlation between the peak pressure level and the sound exposure level, and the application of extreme value theory to estimate fluctuations of the peak pressure around its mean value in varying ocean environments. …”
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Survival Study of Extreme Record by Adam, Mohd Bakri

“…We make use of the extreme value theory for minima and utilized the facility provided by the Kaplan-Meier to develop new goodness-of-fit test method via graphical approaches.…”
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Exchangeability, extreme returns and Value-at-Risk forecasts by Huang, Chun-Kai, North, D., Zewotir, T.

“…We compare the results of our VaR forecasts to that of the unconditional extreme value theory (EVT) approach and the conditional GARCH-EVT model for robust conclusions.…”
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Extreme risk in resource indices and the generalized logistic distribution by Huang, Chun-Kai, Pather, V., Hammujuddy, J., Chinhamu, K.

“…Hence, severe movements in related stock prices can drastically affect the risk profile of the entire market. Extreme value theory provides a basis for evaluating and forecasting such sporadic occurrences. …”
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An Evaluation of Value at Risk Models in Chinese Stock Market by Xiao, Ying

“…In order to achieve this goal, Historical simulation approach, Bootstrapped HS, Hull White method, parametric approach with volatility adjustment, Generalized extreme value theory and Peaks-over-threshold approach are applied to the Shanghai Stock Exchange Composite Index (SSECI) and Shenzhen Stock Exchange Composite Index (SZSECI) to estimate the one-day VaR. …”
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Modelling record times in sport with extreme value methods by Adam, Mohd Bakri, Tawn, Jonathan A.

“…We exploit connections between extreme value theory and record processes to develop inference methods for record processes. …”
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Fluctuations of the peak pressure level of man-made impulsive sound signals propagating in the ocean by Galindo-Romero, M., Gavrilov, Alexander, Duncan, Alec

“…In contrast to the formulation of Dyer and Makris, the approach presented in this work applies extreme value theory using the properties of the peak pressure as a maximum value taken from a Rayleigh distributed amplitude. …”
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