STATISTICAL MODELLING OF MALAYSIA TRADING GOLD PRICE USING EXTREME VALUE THEORY APPROACH

2020 ◽  
Vol 10 (1) ◽  
pp. 1857-8365
Author(s):  
N. Ali ◽  
N. N. Zaimi ◽  
N. Mohamed Ali
Entropy ◽  
2020 ◽  
Vol 22 (12) ◽  
pp. 1425
Author(s):  
Miloš Božović

This paper develops a method for assessing portfolio tail risk based on extreme value theory. The technique applies separate estimations of univariate series and allows for closed-form expressions for Value at Risk and Expected Shortfall. Its forecasting ability is tested on a portfolio of U.S. stocks. The in-sample goodness-of-fit tests indicate that the proposed approach is better suited for portfolio risk modeling under extreme market movements than comparable multivariate parametric methods. Backtesting across multiple quantiles demonstrates that the model cannot be rejected at any reasonable level of significance, even when periods of stress are included. Numerical simulations corroborate the empirical results.


2019 ◽  
Vol 99 (2) ◽  
Author(s):  
Nicolas Ponthus ◽  
Julien Scheibert ◽  
Kjetil Thøgersen ◽  
Anders Malthe-Sørenssen ◽  
Joël Perret-Liaudet

2016 ◽  
Vol 27 (5) ◽  
pp. 1498-1512 ◽  
Author(s):  
Y Chiu ◽  
F Chebana ◽  
B Abdous ◽  
D Bélanger ◽  
P Gosselin

Hospitalizations and deaths belong to the most studied health variables in public health. Those variables are usually analyzed through mean events and trends, based on the whole dataset. However, this approach is not appropriate to comprehend health outcome peaks which are unusual events that strongly impact the health care network (e.g. overflow in hospital emergency rooms). Peaks can also be of interest in etiological research, for instance when analyzing relationships with extreme exposures (meteorological conditions, air pollution, social stress, etc.). Therefore, this paper aims at modeling health variables exclusively through the peaks, which is rarely done except over short periods. Establishing a rigorous and general methodology to identify peaks is another goal of this study. To this end, the extreme value theory appears adequate with statistical tools for selecting and modeling peaks. Selection and analysis for deaths and hospitalizations peaks using extreme value theory have not been applied in public health yet. Therefore, this study also has an exploratory goal. A declustering procedure is applied to the raw data in order to meet extreme value theory requirements. The application is done on hospitalization and death peaks for cardiovascular diseases, in the Montreal and Quebec metropolitan communities (Canada) for the period 1981–2011. The peak return levels are obtained from the modeling and can be useful in hospital management or planning future capacity needs for health care facilities, for example. This paper focuses on one class of diseases in two cities, but the methodology can be applied to any other health peaks series anywhere, as it is data driven.


2019 ◽  
Vol 37 ◽  
pp. 195-202 ◽  
Author(s):  
Gregorio Gecchele ◽  
Federico Orsini ◽  
Massimiliano Gastaldi ◽  
Riccardo Rossi

Author(s):  
Stuart Coles ◽  
Jonathan Tawn

The catastrophic surge event of 1953 on the eastern UK and northern European coastlines led to widespread agreement on the necessity of a coordinated response to understand the risk of future oceanographic flood events and, so far as possible, to afford protection against such events. One element of this response was better use of historical data and scientific knowledge in assessing flood risk. The timing of the event also coincided roughly with the birth of extreme value theory as a statistical discipline for measuring risks of extreme events, and over the last 50 years, as techniques have been developed and refined, various attempts have been made to improve the precision of flood risk assessment around the UK coastline. In part, this article provides a review of such developments. Our broader aim, however, is to show how modern statistical modelling techniques, allied with the tools of extreme value theory and knowledge of sea-dynamic physics, can lead to further improvements in flood risk assessment. Our long-term goal is a coherent spatial model that exploits spatial smoothness in the surge process characteristics and we outline the details of such a model. The analysis of the present article, however, is restricted to a site-by-site analysis of high-tide surges. Nonetheless, we argue that the Bayesian methodology adopted for such analysis enables a risk-based interpretation of results that is most natural in this setting, and preferable to inferences that are available from more conventional analyses.


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