Essays about: "bivariate extreme value distribution"
Found 5 essays containing the words bivariate extreme value distribution.
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1. Copula approach to fitting bivariate time series
University essay from Lunds universitet/Matematisk statistikAbstract : We apply the GARCH-copula method to estimate Value at Risk (VaR) for European and Stockholm stock indices. First, marginal distributions are estimated by the ARMA-GARCH model with normal, Student-t, and skewed t distributions. READ MORE
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2. Estimation of severe crash frequency using two surrogates
University essay from Lunds universitet/Matematisk statistikAbstract : This thesis is concerned with the estimation of crash frequency based on the bivariate modeling of surrogate measures of safety (SMoS), which serve as indicators for traffic risk. Using the SMoS, any traffic conflict between two road users can be described by their proximity together with their hypothetical consequence. READ MORE
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3. Multivariate Risk: From Univariate to High-Dimensional Graphical Models
University essay from Lunds universitet/Statistiska institutionenAbstract : We present a comparison of different univariate and multivariate extreme value risk models. Our focus is on exploring how these can be used to model financial risk. We use simulated as well as real data and compare deterministic and cross-validation threshold selection methods for the GP model to a GEV model. READ MORE
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4. Tail Dependence Considerations for Cross-Asset Portfolios
University essay from KTH/Matematisk statistikAbstract : Extreme events, heaviness of log return distribution tails and bivariate asymptotic dependence are important aspects of cross-asset tail risk hedging and diversification. These are in this thesis investigated with the help of threshold copulas, scalar tail dependence measures and bivariate Value-at-Risk. READ MORE
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5. On Climate Change and Its Impact on Extreme Rainfall in Bangladesh
University essay from Lunds universitet/Matematisk statistikAbstract : In recent years extreme value distributions have attracted a fair amount of attention in literature for risk assessment based on climate data. This thesis focuses on modeling a series of rainfall data over 58 years in the period 1954-2012 recorded at five different stations in Bangladesh. READ MORE