EVIM
EVIM: a software package for extremel value analysis in MATLAB. From the practitioners’ point of view, one of the most interesting questions that tail studies can answer is what are the extreme movements that can be expected in financial markets? Have we already seen the largest ones or are we going to experience even larger movements? Are there theoretical processes that can model the type of fat tails that come out of our empirical analysis? Answers to such questions are essential for sound risk management of financial exposures. It turns out that we can answer these questions within the framework of the extreme value theory. This paper provides a step-by-step guideline for extreme value analysis in the MATLAB environment with several examples.
Keywords for this software
References in zbMATH (referenced in 10 articles , 1 standard article )
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Sorted by year (- Smirnov, Veniamin; Ma, Zhuanzhuan; Volchenkov, Dimitri: Invited article by M. Gidea: Extreme events and emergency scales (2020)
- İzgi, Burhaneddin; Duran, Ahmet: 3D extreme value analysis for stock return, interest rate and speed of mean reversion (2016)
- Mudelsee, Manfred: Climate time series analysis. Classical statistical and bootstrap methods (2014)
- Gilleland, Eric; Ribatet, Mathieu; Stephenson, Alec G.: A software review for extreme value analysis (2013)
- Lu, Zhaoyang: Modeling the yearly value-at-risk for operational risk in Chinese commercial banks (2011)
- Gilli, Manfred; këllezi, Evis: An application of extreme value theory for measuring financial risk (2006)
- Özer, Emre; Nisbet, Andy P.; Gregg, David; Callanan, Owen: Estimating data bus size for custom processors in embedded systems (2006) ioport
- Markose, Sheri; Tsang, Edward; Martinez Jaramillo, Serafin: The red queen principle and the emergence of efficient financial markets: an agent based approach (2005)
- Gençay, Ramazan; Selçuk, Faruk; Ulugülyaǧci, Abdurrahman: High volatility, thick tails and extreme value theory in value-at-risk estimation. (2003)
- Gençay, Ramazan; Selçuk, Faruk; Ulugülyagci, Abdurrahman: EVIM: a software package for extremel value analysis in MATLAB (2001)