On monitoring financial stress index with extreme value theory

DOI10.1080/14697681003792229zbMATH Open1278.91188OpenAlexW2079030356MaRDI QIDQ2873014FDOQ2873014

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

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

Cited In (1)

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

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