Add to ORKGInternational audienceWe study the asymptotic behaviour of the extreme values of a stochastic volatility model when the noise follows a generalized error distribution extreme. We provide a Monte Carlo experiment to illustrate th choice of the assumptions. We deal also with the finite sample behaviour of the normalized maxima
The paper introduces a multiplicative drift condition for evaluating stochastic economic models. The...
Title: Stochastical inference in the model of extreme events Author: Jan Dienstbier Department/Insti...
The vanilla method in univariate extreme-value theory consists of fitting the three-parameter Genera...
International audienceWe study the asymptotic behaviour of the extreme values of a stochastic volati...
The simple stochastic volatility process (Xt)t∈Z is given by the equation Xt = σt Zt, t ∈ Z, (1) whe...
We define the extreme values of any random sample of size n from a distribution function F as the ob...
Nous présentons dans cette thèse en premier lieu la méthode de Bootstrap par permutation appliquée à...
The ability of the Generalised Extreme Value and Generalised Logistic distributions to describe adeq...
International audienceWe consider a class of linear regression model with extreme distribution noise...
Title: Stochastical inference in the model of extreme events Author: Jan Dienstbier Department/Insti...
This thesis is divided into five chapters with an additional introduction and a conclusion. In the f...
Extreme value theory (EVT) methods are used to investigate the asymptotic distribution/s of the extr...
We study the extreme value distribution of stochastic processes modeled by superstatistics. Classica...
The distribution of block maxima of sequences of independent and identically-distributed random var...
Aucunhis thesis is a contribution to the statistical modeling of the index of extreme values in th...
The paper introduces a multiplicative drift condition for evaluating stochastic economic models. The...
Title: Stochastical inference in the model of extreme events Author: Jan Dienstbier Department/Insti...
The vanilla method in univariate extreme-value theory consists of fitting the three-parameter Genera...
International audienceWe study the asymptotic behaviour of the extreme values of a stochastic volati...
The simple stochastic volatility process (Xt)t∈Z is given by the equation Xt = σt Zt, t ∈ Z, (1) whe...
We define the extreme values of any random sample of size n from a distribution function F as the ob...
Nous présentons dans cette thèse en premier lieu la méthode de Bootstrap par permutation appliquée à...
The ability of the Generalised Extreme Value and Generalised Logistic distributions to describe adeq...
International audienceWe consider a class of linear regression model with extreme distribution noise...
Title: Stochastical inference in the model of extreme events Author: Jan Dienstbier Department/Insti...
This thesis is divided into five chapters with an additional introduction and a conclusion. In the f...
Extreme value theory (EVT) methods are used to investigate the asymptotic distribution/s of the extr...
We study the extreme value distribution of stochastic processes modeled by superstatistics. Classica...
The distribution of block maxima of sequences of independent and identically-distributed random var...
Aucunhis thesis is a contribution to the statistical modeling of the index of extreme values in th...
The paper introduces a multiplicative drift condition for evaluating stochastic economic models. The...
Title: Stochastical inference in the model of extreme events Author: Jan Dienstbier Department/Insti...
The vanilla method in univariate extreme-value theory consists of fitting the three-parameter Genera...