Aplicação Da Teoria De Valores Extremos E Da Análise Fundamentalista Em Estratégias Long-Short: Uma Análise De Pair Tradings Do Mercado Brasileiro

Monte-mor, Danilo Soares; Sanfins, Marco Aurélio; Nossa, Silvania Neris; Teixeira, Aridelmo José Campanharo

doi:10.17524/repec.v8i3.1109

Cited by 1 publication

(1 citation statement)

References 22 publications

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“…In fact, EVT is a powerful branch of Statistics and Probability which focus on distribution tails (upper or lower), enabling to quantify events considered extreme or rare through the analysis of minimum or maximum sample groups. It has been studied and used for a long time, applied to different research areas for observing infrequent eventsfrom management risks (McNeil and Zentrum 1999) to performance analysis in emerging markets (Genc ¸ay and Selc ¸uk 2004), as well as to analyze the changes in the temperature in Argentina (Rusticucci and Tencer 2008).…”

Section: Introductionmentioning

confidence: 99%

Statistical analysis of extreme temperatures in India in the period 1951–2020

Vieira

Oliveira

Sanfins

et al. 2023

Theor Appl Climatol

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Extreme temperatures are directly related to the occurrence of atmospheric extreme events, such as draughts, wildfires, and pollution level increases in urban areas. Policy makers, as well as society, can address such phenomenon by developing and applying methods which estimate and anticipate maximum temperature occurrences. In this research, we aim to develop a spatiotemporal model which analyzes maximum temperature trends values in the Indian 543 microregions between 1951 and 2020. In 27% of those, a maximum temperature above 45∘C was observed, at least in a year. Our analysis indicates further that 80% microregions have maximum temperatures above above 40∘C. Additionally, the results unveiled that East, Southwest, and Northwest microregions were the ones where the maximum temperatures had a higher increase with 2∘C being the average. The model developed is based on a Generalized Extreme Value (GEV) methodology, to estimate the maximum temperature values from 20 and 50 years. The projection for 20 years showed that in 15.83% of those microregions, at least one occurrence of a maximum temperature above 45∘C would occur; while in 50 years, it would happen in 21.54% of the microregions analyzed.

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Section: Introductionmentioning

confidence: 99%