Our study uses the GARCH-EVT-copula model to develop out-of-sample forecasts for
diverse asset classes, including a green asset. To construct optimal portfolios, we apply four …

Using traffic conflict-based extreme value theory (EVT) models to quantify real-time crash-
risk of road facilities is a promising direction for developing proactive traffic safety …

This thesis evaluates most of the extreme mixture models and methods that have appended
in the literature and implements them in the context of finance and insurance. The paper …

This paper presents a semi-parametric copula-GARCH risk model for financial return series
with a stress testing perspective. The marginal distributions of the returns are specified using …

This paper proposes a new dynamic model called Stochastic Tail Index (STI) model to
analyze time-varying tail index for financial asset using high frequency return data. Bayesian …

The r largest order statistics approach is widely used in extreme value analysis because it
may use more information from the data than just the block maxima. In practice, the choice of …

Abstract The European Union carbon market is undergoing rapid development and its
interdependence with fossil fuel markets is increasingly important for energy investors. In …

Modelling the tails of distributions is important in many fields, such as environmental
science, hydrology, insurance, engineering and finance, where the risk of unusually large or …

Large fires are a major disturbance in Canadian forests and exert significant effects on both
the climate system and ecosystems. During the last century, extremely large fires accounted …

Extreme value theory has been used to develop models for describing the distribution of rare
events. The extreme value theory based models can be used for asymptotically …