References in classic literature ?
"Cliff's Holiday" has been the name of it ever sin' I were a boy; that's to say, some said as it was the holiday Old Harry gev him from roasting, like.
"That's 'im that the lady kissed, and that gev me tuppence and threatened to drownd me."
"It's a Methodis' preaching, sir; it's been gev hout as a young woman's a-going to preach on the Green," answered Mr.
"I'd ha' gev three times the money if they'll make up to you a bit for them as was sold away from you, Miss.
The Box-Cox-GEV distribution in Equation (9) nests the GPD of Pickands (1975) and the GEV of Jenkinson (1955).
Since one of our goals in this section is to determine whether the asymptotic distribution of extremes belongs to the domain of attraction of GEV or GPD, the value of [phi] is expected to be between zero and one.
The tail index [xi] for the GPD and GEV distributions is found to be positive and statistically different from zero.
The Box-Cox-GEV distribution has the best overall performance, although the GPD, GEV, SGT, EGB2, and IHS appear to be very similar in performance to the Box-Cox-GEV.
The extreme value (Box-Cox-GEV, GPD, GEV) and skewed fat-tailed (SGT, IHS) distributions produce acceptably accurate VaR estimates for all VaR tails and for both the maximal and minimal returns on S&P 500.
The exceptions are, for the minimal returns, the 0.5 percent, 1.5 percent, and 2.5 percent VaR estimates of Box-Cox-GEV, the 0.5 percent and 1 percent VaR estimates of GPD, the 0.5 percent VaR estimate of GEV, the 5 percent VaR estimate of the normal, and the 0.5 percent VaR estimate of IHS distributions are found to accurate at the 5 percent level of significance.
The performance of three extreme value distributions, i.e., GPD, GEV and Box-Cox-GEV and four skewed fat-tailed distributions, i.e., skewed-generalized error distribution (SGED), SGT, EGB2, and IHS, in estimating VaR thresholds is evaluated using various test statistics.
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