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Browsing by Subject "Extreme value theory"
Now showing items 1-20 of 31
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(Taylor & Francis, 2011-11-28)The determination of characteristic bridge load effect is a complex problem. Usually, statistical extrapolation of simulated static load effects is used to derive a lifetime characteristic static load effect. However, ...
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(Global Association of Risk Professionals, 2000)Accurate forecasting of risk is the key to successful risk management techniques. Correct modelling of a variable's extreme values located at the distributional tails accounting for the fat-tail phenomena is paramount, and ...
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(Routledge, 2004)This paper applies extreme value theory to measure downside risk for European equity markets. Two related measures, value at risk and the excess loss probability estimator provide a coherent approach to optimally protect ...
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(Civil-Comp Press, 2009-09)In this study two different models have been developed and tested with data from 55 hydrometric stations in the Shannon River Basin in Ireland for estimating the location and the scale parameters of the EV1 distribution ...
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(University College Dublin. School of Business. Centre for Financial MarketsUniversity College Dublin. School of Business, 2008-10-06)Risk is an inherent feature of agricultural production and marketing and accurate measurement of it helps inform more efficient use of resources. This paper examines three tail quantile-based risk measures applied to the ...
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(Henry Stewart Publications, 2004)Focuses on the importance of the accurate modelling of market risk. Dates of extreme trading events experienced by derivative traders; Standard approach to modelling any market movement and its implications; Use of extreme ...
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(2007-02-29)Extreme price movements associated with tail returns are catastrophic for all investors and it is necessary to make accurate predictions of the severity of these events. Choosing a time frame associated with large financial ...
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(Routledge, 2005)This article uses Extreme Value Theory (EVT) to measure extreme risk in futures contracts with diverging underlying assets. The approach provides a framework for analysing the distributional properties of extreme returns. ...
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(Elsevier Science, 2006-12)This paper applies the extreme-value (EV) generalised pareto distribution to the extreme tails of the return distributions for the S&P500, FT100, DAX, Hang Seng, and Nikkei225 futures contracts. It then uses tail estimators ...
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(University College Dublin. School of Business. Centre for Financial Markets, 2005-12-14)This paper applies the Extreme-Value (EV) Generalised Pareto distribution to the extreme tails of the return distributions for the S&P500, FT100, DAX, Hang Seng, and Nikkei225 futures contracts. It then uses tail estimators ...
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(Taylor & Francis, 2006-10)Extreme price movements associated with market crashes and booms have catastrophic repercussions for all investors and it is necessary to make accurate predictions of the frequency and severity of these events. This paper ...
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(Copernicus Publications on behalf of the European Geosciences Union, 2012)This study explores influences on flood frequency distributions in Irish rivers. Generalised Extreme Value (GEV) type I distributions are recommended in Ireland for estimating flood quantiles. This paper presents the ...
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(Elsevier Science, 2001-08)Futures exchanges require a margin requirement that ensures their competitiveness and protects against default risk. This paper applies extreme value theory in computing unconditional optimal margin levels for a selection ...
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(University College Dublin. School of Business. Centre for Financial Markets, 2004-06-14)Both in practice and in the academic literature, models for setting margin requirements in futures markets use daily closing price changes. However, financial markets have recently shown high intraday volatility, which ...
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(Elsevier Science, 2006)
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(2006-06-27)Both in practice and in the academic literature, models for setting margin requirements in futures markets classically use daily closing price changes. However, as well documented by research on high-frequency data, ...
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(University College Dublin. School of Business. Centre for Financial Markets, 2005-04-06)This letter uses the Block Maxima Extreme Value approach to quantify catastrophic risk in international equity markets. Risk measures are generated from a set threshold of the distribution of returns that avoids the ...
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(Taylor & Francis, 2006)This letter uses the Block Maxima Extreme Value approach to quantify catastrophic risk in international equity markets. Risk measures are generated from a set threshold of the distribution of returns that avoids the pitfall ...
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(Papazisis Press, 2004-11)Extreme asset price movements appear to be more pronounced recently and have major consequences for an economy’s financial stability and monetary policies. This paper investigates the extreme behaviour of equity market ...
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(University College Dublin. School of Business. Centre for Financial Markets, 2004)Extreme asset price movements have major consequences for an economy’s financial stability and monetary policies. The recent equity price movements associated with financial crises appear to be more pronounced and policy ...
Now showing items 1-20 of 31