This paper provides information on extreme value modeling of stream flow extremes from three rivers in the New York City Metropolitan Area using generalized extreme value distribution (GEV). GEV parameters including location, scale, and shape are analyzed to get an appropriate minimum window size for stationary conditions, and then the time series analysis of GEV parameters are performed by usi...

A framework is introduced allowing to apply nonparametric quantile regression to Value at Risk (VaR) prediction at any probability level of interest. A monotonized double kernel local linear estimator is used to estimate moderate (1%) conditional quantiles of index return distributions. For extreme (0.1%) quantiles, nonparametric quantile regression is combined with extreme value theory. The ab...

This article presents flexible new models for the dependence structure, or copula, of economic variables based on a latent factor structure. The proposed models are particularly attractive for relatively highdimensional applications, involving 50 or more variables, and can be combined with semiparametric marginal distributions to obtain flexible multivariate distributions. Factor copulas genera...

In this paper we perform an analytical and numerical study of Extreme Value distributions in discrete dynamical systems. In this setting, recent works have shown how to get a statistics of extremes in agreement with the classical Extreme Value Theory. We pursue these investigations by giving analytical expressions of Extreme Value

R.L. Smith (1989) in his Statistical Science discussion paper, proposed new methods fora.Ilalyzingextreme values based on the point process view of highlevelexceedances,andillustratedthem with a detailed analysis·of ozone data frqm Houston, Texas. The methods are powerful and, in particular, the point process ofcluster peaks over a high threshold provides a remarkable condensation of the massiv...

The completion time for the dissemination (or alternatively, aggregation) of information from all nodes in a network plays a critical role in the design and analysis of communication systems, especially in real time applications for which delay is critical. In this work, we analyse the completion time of data dissemination in a shared loss (i.e., unreliable links) multicast tree, at the limit o...

Market risk exposure plays a key role for financial institutions risk management. A possible measure for this exposure is to evaluate losses likely to incur when the price of the portfolio’s assets declines using Value-at-Risk (VaR) estimates, one of the most prominent measure of financial downside market risk. This paper suggests an evolving possibilistic fuzzy modeling approach for VaR estima...