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Caston Sigauke, Rosinah Mukhodobwane, Wilbert Chagwiza and Winston Garira
With the use of empirical data, this paper focuses on solving financial and investment issues involving extremal dependence of 10 pairwise combinations of the 5 BRICS (Brazil, Russia, India, China, and South Africa) stock markets. Daily closing equity in...
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Siyuan Liu, Qi Shao, Wei Li, Guijun Han, Kangzhuang Liang, Yantian Gong, Ru Wang, Hanyu Liu and Song Hu
Conditional nonlinear optimal perturbation (CNOP) represents the initial perturbation that satisfies a certain physical constraint condition, and leads to a maximum prediction error at the moment of prediction. The CNOP method is a useful tool in studyin...
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Theophilos Papadimitriou, Periklis Gogas and Athanasios Fotios Athanasiou
This study aims to forecast extreme fluctuations of Bitcoin returns. Bitcoin is the first decentralized and the largest, in terms of capitalization, cryptocurrency. A well-timed and precise forecast of extreme changes in Bitcoin returns is key to market ...
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Katleho Makatjane and Ntebogang Moroke
During the past decades, seasonal autoregressive integrated moving average (SARIMA) had become one of a prevalent linear models in time series and forecasting. Empirical research advocated that forecasting with non-linear models can be an encouraging alt...
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Pieter-Henk Boer,Elias Munapo,Martin Chanza,Issaah A. Mhlanga
AbstractOrientation: Exchange market pressure (EMP) is the selling pressure of domestic currency or excess demand needed for foreign currency.Research purpose: The purpose of this study was to analyse EMP using extreme value theory (EVT) and to...
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Evangelos Mavrommatis, Dimitris Damigos and Sevastianos Mirasgedis
Changing climate conditions affect mining operations all over the world, but so far, the mining sector has focused primarily on mitigation actions. Nowadays, there exists increasing recognition of the need for planned adaptation actions. To this end, the...
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Raúl de Jesús-Gutiérrez,Roberto J. Santillán-Salgado
Pág. 127 - 141
The purpose of this work is to extend McNeil and Frey´s (2000) methodology by combining two component GARCH models and extreme value theory to evaluate the performance of the Value at Risk (VaR) and Expected Shortfall (ES) measures in the Latin American ...
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Xiya Zhang and Haibo Hu
Extreme cold events (ECEs) have occurred more frequently over the last few winters in China, associated with large losses of human life and increasing costs. Here, copulas are used to establish a bivariate copula distribution model for ECE variables of d...
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Knowledge Chinhamu, Chun-Kai Huang, Chun-Sung Huang, Delson Chikobvu
Extreme value theory (EVT) has been widely applied in fields such as hydrology and insurance. It is a tool used to reflect on probabilities associated with extreme, and thus rare, events. EVT is useful in modeling the impact of crashes or situations of e...
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