On monitoring financial stress index with extreme value theory

DOI10.1080/14697681003792229MaRDI QIDQ2873014zbMATH OpenOpenAlexFDO

Authors Amira Dridi, Mohamed El Ghourabi, Mohamed Limam

Publication date 17 January 2014

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697681003792229

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Statistical methods; risk measures (91G70)

Cites work

• A Modified Quantile Estimator Using Extreme-Value Theory with Applications
• A moment estimator for the index of an extreme-value distribution
• A simple general approach to inference about the tail of a distribution
• Extreme Value Theory as a Risk Management Tool
• Mixtures of tails in clustered automobile collision claims
• On SPC for Short Run Autocorrelated Data
• Residual life time at great age
• Statistical inference using extreme order statistics

Cited in

(1)

• A new financial stress index model based on support vector regression and control chart

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