A multiobjective optimization approach for threshold determination in extreme value analysis for financial time series
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Publication:6149574
DOI10.1007/S10287-023-00488-6MaRDI QIDQ6149574FDOQ6149574
Authors: Carlin C. F. Chu, Simon S. W. Li 
Publication date: 6 February 2024
Published in: Computational Management Science (Search for Journal in Brave)
Recommendations
peaks over thresholdmultiple criteria decision analysisgoal programming modelEVTgeneralized pareto distribution
Cites Work
- Generalized Pareto copulas: a key to multivariate extremes
- Threshold selection for regional peaks-over-threshold data
- Multivariate generalized Pareto distributions
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- Suitable-portfolio investors, nondominated frontier sensitivity, and the effect of multiple objectives on standard portfolio selection
- Multiple criteria decision making combined with finance: a categorized bibliographic study.
- Modeling uncertainty in multi-criteria decision analysis
- Extreme Value Theory as a Risk Management Tool
- Multiple criteria decision aiding for finance: an updated bibliographic survey
- An application of extreme value theory for measuring financial risk
- Multivariate extreme value theory and its usefulness in understanding risk
- Optimum multivariate stratified double sampling design: Chebyshev's goal programming approach
- Multivariate generalized Pareto distributions: parametrizations, representations, and properties
- Quantile estimation for the generalized Pareto distribution with application to finance
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