Journal ArticleDOI
Sur La Distribution Limite Du Terme Maximum D'Une Serie Aleatoire
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This article is published in Annals of Mathematics.The article was published on 1943-07-01. It has received 2037 citations till now.read more
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The near-extreme density of intraday log-returns
TL;DR: In this article, the authors focus on the closely related density of "near-extremes" (the distance between a record and the maximal value) and apply this recently proposed method in the empirical validation of an adapted financial market model of the intraday market fluctuations.
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Estimates of the likelihood of extreme returns in international stock markets
Jon Vilasuso,David Katz +1 more
TL;DR: This article applied extreme value theory to daily international stock-market returns to determine whether or not returns follow a heavy-tailed stable distribution, the likelihood of an extreme return, such as a 20% drop in a single day, and whether the change in the extreme event has changed since October 1987.
Dissertation
Contributions à l'estimation de quantiles extrêmes. Applications à des données environnementales
TL;DR: In this article, trois nouveaux estimateurs have been proposed to estimate the conditional tail moment, i.e., the moment d'ordre a>0 of the pertes in a queue of type Pareto.
Journal ArticleDOI
The limit distribution of the size of a giant component in an Internet-type random graph
TL;DR: In this paper, the authors studied a random graph which can be treated as a model of large-scale data transmission systems, including the Internet, and gave conditions for existence of a giant component in such a graph and proved that the limit distribution of the size of this component is normal.