Asymptotic Excess Distribution for Time Serie . 9783639861426 | dpd Versand
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Asymptotic Excess Distribution for Time Series (2016)
DE PB NW RP
ISBN: 9783639861426 bzw. 3639861426, in Deutsch, SPS Jan 2016, Taschenbuch, neu, Nachdruck.
Lieferung aus: Deutschland, Versandkostenfrei.
Von Händler/Antiquariat, AHA-BUCH GmbH [51283250], Einbeck, Germany.
This item is printed on demand - Print on Demand Neuware - Both in insurance and finance applications, questions involving extremal events such as large insurance claims, large fluctuations in financial data, stock market shocks, and risk management among others play an increasingly important role in Extreme Value Modelling, Tail data are often modeled by fitting a generalized Pareto distribution (GPD) to the exceedances over high thresholds. In practice, a threshold u is fixed and a GPD is fitted to the data exceeding u. We considered simulations from ARMA (1,1), ARCH(1) and GARCH(1,1) processes for both normal and t-distributions and using various thresholds to obtain about 20%, 10%, 5% and 1% of data above threshold u and estimated the GPD parameters using the Maximum Likelihood Method. As an application we studied a data set for foreign exchange rate returns. THIS BOOK IS WORTH BUYING FOR THE USE OF MODELLING LARGE DATA, FINANCIAL DATA AND EXTREMAL EVENTS AS WELL AS ECONOMETRIC STUDIES. 100 pp. Englisch.
Von Händler/Antiquariat, AHA-BUCH GmbH [51283250], Einbeck, Germany.
This item is printed on demand - Print on Demand Neuware - Both in insurance and finance applications, questions involving extremal events such as large insurance claims, large fluctuations in financial data, stock market shocks, and risk management among others play an increasingly important role in Extreme Value Modelling, Tail data are often modeled by fitting a generalized Pareto distribution (GPD) to the exceedances over high thresholds. In practice, a threshold u is fixed and a GPD is fitted to the data exceeding u. We considered simulations from ARMA (1,1), ARCH(1) and GARCH(1,1) processes for both normal and t-distributions and using various thresholds to obtain about 20%, 10%, 5% and 1% of data above threshold u and estimated the GPD parameters using the Maximum Likelihood Method. As an application we studied a data set for foreign exchange rate returns. THIS BOOK IS WORTH BUYING FOR THE USE OF MODELLING LARGE DATA, FINANCIAL DATA AND EXTREMAL EVENTS AS WELL AS ECONOMETRIC STUDIES. 100 pp. Englisch.
2
Asymptotic Excess Distribution for Time Series (2015)
EN PB US
ISBN: 9783639861426 bzw. 3639861426, in Englisch, 100 Seiten, Scholars' Press, Taschenbuch, gebraucht.
Neu ab: £41.19 (9 Angebote)
Gebraucht ab: £43.39 (1 Angebote)
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Lieferung aus: Vereinigtes Königreich Großbritannien und Nordirland, Usually dispatched within 1-2 business days.
Von Händler/Antiquariat, Wordery.
Both in insurance and finance applications, questions involving extremal events such as large insurance claims, large fluctuations in financial data, stock market shocks, and risk management among others play an increasingly important role in Extreme Value Modelling, Tail data are often modeled by fitting a generalized Pareto distribution (GPD) to the exceedances over high thresholds. In practice, a threshold u is fixed and a GPD is fitted to the data exceeding u. We considered simulations from ARMA (1,1), ARCH(1) and GARCH(1,1) processes for both normal and t-distributions and using various thresholds to obtain about 20%, 10%, 5% and 1% of data above threshold u and estimated the GPD parameters using the Maximum Likelihood Method. As an application we studied a data set for foreign exchange rate returns. THIS BOOK IS WORTH BUYING FOR THE USE OF MODELLING LARGE DATA, FINANCIAL DATA AND EXTREMAL EVENTS AS WELL AS ECONOMETRIC STUDIES. Paperback, Label: Scholars' Press, Scholars' Press, Produktgruppe: Book, Publiziert: 2015-12-11, Freigegeben: 2015-12-11, Studio: Scholars' Press.
Von Händler/Antiquariat, Wordery.
Both in insurance and finance applications, questions involving extremal events such as large insurance claims, large fluctuations in financial data, stock market shocks, and risk management among others play an increasingly important role in Extreme Value Modelling, Tail data are often modeled by fitting a generalized Pareto distribution (GPD) to the exceedances over high thresholds. In practice, a threshold u is fixed and a GPD is fitted to the data exceeding u. We considered simulations from ARMA (1,1), ARCH(1) and GARCH(1,1) processes for both normal and t-distributions and using various thresholds to obtain about 20%, 10%, 5% and 1% of data above threshold u and estimated the GPD parameters using the Maximum Likelihood Method. As an application we studied a data set for foreign exchange rate returns. THIS BOOK IS WORTH BUYING FOR THE USE OF MODELLING LARGE DATA, FINANCIAL DATA AND EXTREMAL EVENTS AS WELL AS ECONOMETRIC STUDIES. Paperback, Label: Scholars' Press, Scholars' Press, Produktgruppe: Book, Publiziert: 2015-12-11, Freigegeben: 2015-12-11, Studio: Scholars' Press.
3
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Asymptotic Excess Distribution for Time Series
DE NW
ISBN: 9783639861426 bzw. 3639861426, in Deutsch, VDM Verlag Dr. Müller, Saarbrücken, Deutschland, neu.
Lieferung aus: Deutschland, zzgl. Versandkosten.
Both in insurance and finance applications, questions involving extremal events such as large insurance claims, large fluctuations in financial data, stock market shocks, and risk management among others play an increasingly important role in Extreme Value Modelling, Tail data are often modeled by fitting a generalized Pareto distribution (GPD) to the exceedances over high thresholds. In practice, a threshold u is fixed and a GPD is fitted to the data exceeding u. We considered simulations from ARMA (1,1), ARCH(1) and GARCH(1,1) processes for both normal and t-distributions and using various thresholds to obtain about 20%, 10%, 5% and 1% of data above threshold u and estimated the GPD parameters using the Maximum Likelihood Method. As an application we studied a data set for foreign exchange rate returns. THIS BOOK IS WORTH BUYING FOR THE USE OF MODELLING LARGE DATA, FINANCIAL DATA AND EXTREMAL EVENTS AS WELL AS ECONOMETRIC STUDIES.
Both in insurance and finance applications, questions involving extremal events such as large insurance claims, large fluctuations in financial data, stock market shocks, and risk management among others play an increasingly important role in Extreme Value Modelling, Tail data are often modeled by fitting a generalized Pareto distribution (GPD) to the exceedances over high thresholds. In practice, a threshold u is fixed and a GPD is fitted to the data exceeding u. We considered simulations from ARMA (1,1), ARCH(1) and GARCH(1,1) processes for both normal and t-distributions and using various thresholds to obtain about 20%, 10%, 5% and 1% of data above threshold u and estimated the GPD parameters using the Maximum Likelihood Method. As an application we studied a data set for foreign exchange rate returns. THIS BOOK IS WORTH BUYING FOR THE USE OF MODELLING LARGE DATA, FINANCIAL DATA AND EXTREMAL EVENTS AS WELL AS ECONOMETRIC STUDIES.
5
Symbolbild
Asymptotic Excess Distribution for Time Series (2015)
DE PB NW
ISBN: 9783639861426 bzw. 3639861426, in Deutsch, Scholars' Press, Taschenbuch, neu.
Lieferung aus: Vereinigte Staaten von Amerika, zzgl. Versandkosten, Verandgebiet: STOCKNEW.
Von Händler/Antiquariat, Alibris, NV, Sparks, [RE:5].
Trade paperback.
Von Händler/Antiquariat, Alibris, NV, Sparks, [RE:5].
Trade paperback.
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