Browsing by Subject "Extreme Value Theory"
Now showing items 1-3 of 3
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An Application Of Extreme Value Theory In Modelling Electricity Production In Kenya
(IISTE, 2014)Extreme Value Theory provides a well-established statistical model for the computation of extreme risk measure which includes, Value at Risk and Expected Shortfall. In this paper we apply Univariate Extreme Value Theory ... -
Application of extreme value theory in the estimation of value at risk in Kenyan stock market
(Int. J. Cur. Tr. Res, 2013)Most financial institutions have faced a lot of losses due to the fluctuations of commodities prices. Traditionally normal distribution was applied and could not capture rare events which caused enormous losses. The ... -
Extreme Value Modelling of Rainfall Using Poisson-generalized Pareto Distribution: A Case Study Tanzania
(Science Publishing Group, 2019)Extreme rainfall events have caused significant damage to agriculture, ecology and infrastructure, disruption of human activities, injury and loss of life. They have also significant social, economical and environmental ...
