Extreme Value Theory - Articles - Scientific Research Publishing

Crisis, Value at Risk and Conditional Extreme Value Theory via the NIG + Jump Model (Articles)

Samuel Y. M. Ze-To

Journal of Mathematical Finance Vol.2 No.3，August 31, 2012

DOI: 10.4236/jmf.2012.23025 7,514 Downloads 11,688 Views Citations
Analyzing the Annual Maximum Magnitude of Earthquakes in Japan by Extreme Value Theory (Articles)

Fumio Maruyama

Open Journal of Applied Sciences Vol.10 No.12，December 23, 2020

DOI: 10.4236/ojapps.2020.1012057 515 Downloads 1,714 Views Citations
An Analysis of the Maximum Lifespan in the World and Japan (Articles)

Fumio Maruyama

Journal of Biosciences and Medicines Vol.10 No.4，April 22, 2022

DOI: 10.4236/jbm.2022.104021 198 Downloads 786 Views Citations
Efficient Estimation of Distributional Tail Shape and the Extremal Index with Applications to Risk Management (Articles)

Travis R. A. Sapp

Journal of Mathematical Finance Vol.6 No.4，November 9, 2016

DOI: 10.4236/jmf.2016.64046 1,580 Downloads 3,008 Views Citations
This article belongs to the Special Issue on Portfolio Theory and Risk Management
The Predictive Performance of Extreme Value Analysis Based-Models in Forecasting the Volatility of Cryptocurrencies (Articles)

Cyprian Omari, Anthony Ngunyi

Journal of Mathematical Finance Vol.11 No.3，August 5, 2021

DOI: 10.4236/jmf.2021.113025 349 Downloads 1,591 Views Citations
Catastrophe Risk Derivatives: A New Approach (Articles)

Mehdi Bekralas Abdessalem, Masamitsu Ohnishi

Journal of Mathematical Finance Vol.4 No.1，January 21, 2014

DOI: 10.4236/jmf.2014.41003 4,427 Downloads 7,201 Views Citations
This article belongs to the Special Issue on Option Pricing Research
Measuring Black Swans in Financial Markets (Articles)

J. T. Manhire

Journal of Mathematical Finance Vol.8 No.1，February 28, 2018

DOI: 10.4236/jmf.2018.81016 1,156 Downloads 3,627 Views Citations
This article belongs to the Special Issue on Stock Valuation
Analysis of Japan and World Records in the 100 m Dash Using Extreme Value Theory (Articles)

Fumio Maruyama

Journal of Applied Mathematics and Physics Vol.9 No.7，July 8, 2021

DOI: 10.4236/jamp.2021.97097 300 Downloads 1,069 Views Citations
Analyzing of the ENSO Index Using Extreme Value Theory (Articles)

Fumio Maruyama

Journal of Geoscience and Environment Protection Vol.11 No.6，June 28, 2023

DOI: 10.4236/gep.2023.116007 124 Downloads 554 Views Citations
Modeling Bank of Kigali Stock Risks in Rwanda Stock Exchange Using Extreme Value Distribution (Articles)

Katu Daniel Edem, Marcel Ndengo

Journal of Financial Risk Management Vol.10 No.3，August 3, 2021

DOI: 10.4236/jfrm.2021.103013 287 Downloads 1,253 Views Citations
Value-at-Risk Based on Time-Varying Risk Tolerance Level (Articles)

Debasish Majumder

Theoretical Economics Letters Vol.8 No.1，January 29, 2018

DOI: 10.4236/tel.2018.81007 868 Downloads 1,970 Views Citations
This article belongs to the Special Issue on Financial Economics
Tail Quantile Estimation of Heteroskedastic Intraday Increases in Peak Electricity Demand (Articles)

Caston Sigauke, Andréhette Verster, Delson Chikobvu

Open Journal of Statistics Vol.2 No.4，October 31, 2012

DOI: 10.4236/ojs.2012.24054 3,031 Downloads 5,174 Views Citations
Application of the Queuing Theory in Characterizing and Optimizing the Passenger Flow at the Airport Security (Articles)

Mengjiao Wang

Journal of Applied Mathematics and Physics Vol.5 No.9，September 15, 2017

DOI: 10.4236/jamp.2017.59134 2,108 Downloads 5,086 Views Citations
Asymptotic Analysis for Spectral Risk Measures Parameterized by Confidence Level (Articles)

Takashi Kato

Journal of Mathematical Finance Vol.8 No.1，February 28, 2018

DOI: 10.4236/jmf.2018.81015 973 Downloads 1,863 Views Citations
Optimal Threshold Determination for the Maximum Product of Spacing Methodology with Ties for Extreme Events (Articles)

Peter Murage, Joseph Mung’atu, Everlyne Odero

Open Journal of Modelling and Simulation Vol.7 No.3，June 4, 2019

DOI: 10.4236/ojmsi.2019.73008 746 Downloads 1,830 Views Citations
Analysis of the USD/JPY and EUR/JPY Exchange Rates Using Multifractal Analysis and Extreme Value Theory (Articles)

Fumio Maruyama

Journal of Applied Mathematics and Physics Vol.11 No.10，October 17, 2023

DOI: 10.4236/jamp.2023.1110184 129 Downloads 647 Views Citations
Estimation of Return Level for Maximum Daily and Hourly Precipitation in Nagano Prefecture, Japan, Using the Extreme Value Theory (Articles)

Fumio Maruyama

Open Journal of Applied Sciences Vol.14 No.8，August 13, 2024

DOI: 10.4236/ojapps.2024.148136 108 Downloads 346 Views Citations
Using Conditional Extreme Value Theory to Estimate Value-at-Risk for Daily Currency Exchange Rates (Articles)

Cyprian O. Omari, Peter N. Mwita, Antony G. Waititu

Journal of Mathematical Finance Vol.7 No.4，November 2, 2017

DOI: 10.4236/jmf.2017.74045 1,790 Downloads 6,471 Views Citations
New Class of Distortion Risk Measures and Their Tail Asymptotics with Emphasis on VaR (Articles)

Chuancun Yin, Dan Zhu

Journal of Financial Risk Management Vol.7 No.1，March 6, 2018

DOI: 10.4236/jfrm.2018.71002 1,423 Downloads 2,490 Views Citations
Optimal Threshold Determination for Securities Exchange Volumes Using Improved Maximum Product of Spacing Methodology (Articles)

Peter Murage, Joseph Mung’atu, Everlyne Odero

Open Journal of Statistics Vol.9 No.3，June 18, 2019

DOI: 10.4236/ojs.2019.93023 552 Downloads 1,167 Views Citations

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