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Energy Economics, ISSN 0140-9883, 2009, Volume 31, Issue 4, pp. 519 - 530
Journal Article
Physica A: Statistical Mechanics and its Applications, ISSN 0378-4371, 01/2018, Volume 490, pp. 1423 - 1433
Volatilities of crude oil price have important impacts on the steady and sustainable development of world real economy. Thus it is of great academic and... 
Value-at-Risk | Extreme value theory | Crude oil markets | Mixed R-vine copula | Monte Carlo simulation | Expected shortfall | SPILLOVERS | PRICE | PHYSICS, MULTIDISCIPLINARY | RETURNS | DEPENDENT RANDOM-VARIABLES | ORDER | MODELS | AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY | GARCH | CONSTRUCTIONS | VOLATILITY | Measurement | Monte Carlo method | Sustainable development
Journal Article
The Annals of Statistics, ISSN 0090-5364, 2/2015, Volume 43, Issue 1, pp. 276 - 298
Journal Article
Physica A: Statistical Mechanics and its Applications, ISSN 0378-4371, 06/2018, Volume 499, pp. 288 - 297
Using intraday data of the CSI300 index, this paper discusses value-at-risk (VaR) forecasting of the Chinese stock market from the perspective of... 
HARQ | Extreme value theory | Realized volatility | VaR | HELP | ORDER | PHYSICS, MULTIDISCIPLINARY | ECONOMETRIC-ANALYSIS
Journal Article
2012, Monographs on statistics and applied probability, ISBN 1439835748, Volume 122, xxv, 373
Book
IEEE Transactions on Vehicular Technology, ISSN 0018-9545, 07/2018, Volume 67, Issue 7, pp. 6652 - 6657
We consider a general selection-diversity scheme in which the kth best link is selected from a number of links. We use extreme value theory to derive simple... 
Fading channels | Wireless communication | communication system performance | Limiting | Antenna diversity | extreme value distributions | Throughput | Random variables | Delays | Signal to noise ratio | fading channels
Journal Article
European Journal of Operational Research, ISSN 0377-2217, 08/2017, Volume 261, Issue 1, pp. 169 - 181
•We study inventory control when relatively limited historical demand is available.•Our new method combines extreme value theory with an empirical forecasting... 
Semi-parametric | Spare parts | Extreme value theory | Forecasting | Inventory | Management Science and Operations Research | Modelling and Simulation | Information Systems and Management | MANAGEMENT | PERFORMANCE | TIME | DISTRIBUTIONS | OPERATIONS RESEARCH & MANAGEMENT SCIENCE | MIXING PROPERTIES | STOCK CONTROL | INTERMITTENT DEMAND | TAIL | INVENTORY CONTROL | INDEX | Inventory control | Analysis
Journal Article
Journal of Visual Communication and Image Representation, ISSN 1047-3203, 04/2019, Volume 60, pp. 236 - 249
•It is possible to predict the relevance of top-ranked results returned by a retrieval system by considering only their scores and employing the Extreme Value... 
Performance prediction | Information retrieval | Extreme value theory | Relevance prediction | Weibull distribution | COMPUTER SCIENCE, SOFTWARE ENGINEERING | COMPUTER SCIENCE, INFORMATION SYSTEMS
Journal Article
Nonlinearity, ISSN 0951-7715, 06/2018, Volume 31, Issue 7, pp. 3326 - 3358
We show that the probability of the appearance of synchronization in chaotic coupled map lattices is related to the distribution of the maximum of a certain... 
transfer operator | coupled lattice maps | extreme value theory | EXPANDING MAPS | MATHEMATICS, APPLIED | CONTINUOUS INVARIANT-MEASURES | DYNAMICAL-SYSTEMS | RETURN TIMES | PHYSICS, MATHEMATICAL | Dynamical Systems | Chaotic Dynamics | Mathematics | Nonlinear Sciences
Journal Article
Econometric Theory, ISSN 0266-4666, 02/2018, Volume 34, Issue 1, pp. 23 - 67
Journal Article
Accident Analysis and Prevention, ISSN 0001-4575, 01/2014, Volume 62, pp. 32 - 41
Journal Article
Journal Article
Quantitative Finance, ISSN 1469-7688, 05/2019, Volume 19, Issue 5, pp. 799 - 825
We use stock market data to analyze the quality of alternative models and procedures for forecasting expected shortfall (ES) at different significance levels.... 
Skewed distributions | Extreme value theory | Backtesting | Filtered historical simulation | Expected shortfall | REGRESSION | DIVERSIFICATION | APPROXIMATION | FORECASTS | INFERENCE | BUSINESS, FINANCE | MARKET RISK | MATHEMATICS, INTERDISCIPLINARY APPLICATIONS | VALUE-AT-RISK | SOCIAL SCIENCES, MATHEMATICAL METHODS | FINANCIAL DATA | ECONOMICS | FAT TAILS | ASSET RETURNS
Journal Article