IDEAS home Printed from https://ideas.repec.org/a/eee/stapro/v82y2012i2p385-395.html
   My bibliography  Save this article

Rates of convergence of extreme for general error distribution under power normalization

Author

Listed:
  • Chen, Shouquan
  • Wang, Chao
  • Zhang, Geng

Abstract

By using the theory of p-max stable laws, we study the rates of convergence of extremes for general error distribution under power normalization. We derived the exact uniform convergence rate of the distribution of maximum to its extreme value limit.

Suggested Citation

  • Chen, Shouquan & Wang, Chao & Zhang, Geng, 2012. "Rates of convergence of extreme for general error distribution under power normalization," Statistics & Probability Letters, Elsevier, vol. 82(2), pages 385-395.
    • Handle: RePEc:eee:stapro:v:82:y:2012:i:2:p:385-395
    DOI: 10.1016/j.spl.2011.10.019
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167715211003403
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.spl.2011.10.019?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Subramanya, U. R., 1994. "On max domains of attraction of univariate p-max stable laws," Statistics & Probability Letters, Elsevier, vol. 19(4), pages 271-279, March.
    2. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-370, March.
    3. Christoph, Gerd & Falk, Michael, 1996. "A note on domains of attraction of p-max stable laws," Statistics & Probability Letters, Elsevier, vol. 28(3), pages 279-284, July.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Liao, Xin & Peng, Zuoxiang & Nadarajah, Saralees & Wang, Xiaoqian, 2014. "Rates of convergence of extremes from skew-normal samples," Statistics & Probability Letters, Elsevier, vol. 84(C), pages 40-47.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. H. M. Barakat & E. M. Nigm, 2010. "On the rate of convergence to asymptotic independence between order statistics under power normalization with extension to the generalized order statistics," Indian Journal of Pure and Applied Mathematics, Springer, vol. 41(6), pages 703-714, December.
    2. Feng, Bo & Chen, Shouquan, 2015. "On large deviations of extremes under power normalization," Statistics & Probability Letters, Elsevier, vol. 99(C), pages 27-35.
    3. Sha Jiang & Tingting Li & Xin Liao, 2018. "Distributional expansions on extremes from skew-normal distribution under power normalization," Statistical Papers, Springer, vol. 59(1), pages 1-20, March.
    4. Barakat, H.M. & Omar, A.R. & Khaled, O.M., 2017. "A new flexible extreme value model for modeling the extreme value data, with an application to environmental data," Statistics & Probability Letters, Elsevier, vol. 130(C), pages 25-31.
    5. E. Nigm, 2006. "Bootstrapping extremes of random variables under power normalization," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 15(1), pages 257-269, June.
    6. Han, Chulwoo & Park, Frank C., 2022. "A geometric framework for covariance dynamics," Journal of Banking & Finance, Elsevier, vol. 134(C).
    7. Tian, Maoxi & El Khoury, Rim & Alshater, Muneer M., 2023. "The nonlinear and negative tail dependence and risk spillovers between foreign exchange and stock markets in emerging economies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 82(C).
    8. Bruno Feunou & Jean-Sébastien Fontaine & Abderrahim Taamouti & Roméo Tédongap, 2014. "Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty," Review of Finance, European Finance Association, vol. 18(1), pages 219-269.
    9. Chang, Chia-Lin, 2015. "Modelling a latent daily Tourism Financial Conditions Index," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 113-126.
    10. Norbert Funke & Akimi Matsuda, 2006. "Macroeconomic News and Stock Returns in the United States and Germany," German Economic Review, Verein für Socialpolitik, vol. 7(2), pages 189-210, May.
    11. Li, Yuming, 1998. "Expected stock returns, risk premiums and volatilities of economic factors1," Journal of Empirical Finance, Elsevier, vol. 5(2), pages 69-97, June.
    12. Xilong Chen & Eric Ghysels, 2011. "News--Good or Bad--and Its Impact on Volatility Predictions over Multiple Horizons," Review of Financial Studies, Society for Financial Studies, vol. 24(1), pages 46-81, October.
    13. Benjamin Born & Michael Ehrmann & Marcel Fratzscher, 2011. "How Should Central Banks Deal with a Financial Stability Objective? The Evolving Role of Communication as a Policy Instrument," Chapters, in: Sylvester Eijffinger & Donato Masciandaro (ed.), Handbook of Central Banking, Financial Regulation and Supervision, chapter 9, Edward Elgar Publishing.
    14. Renatas Kizys & Peter Spencer, 2007. "Assessing the Relation between Equity Risk Premium and Macroeconomic Volatilities in the UK," Discussion Papers 07/13, Department of Economics, University of York.
    15. Alagidede, Paul & Panagiotidis, Theodore, 2009. "Modelling stock returns in Africa's emerging equity markets," International Review of Financial Analysis, Elsevier, vol. 18(1-2), pages 1-11, March.
    16. Camille Baulant & Nivine Albouz, 2021. "Has financial globalization since 1990 reduced income inequality: the role of rating announcements on the volatility and the returns of the Brazilian Financial Market [Les annonces de notation souv," Working Papers hal-03258994, HAL.
    17. Yoshito Funashima, 2022. "Economic policy uncertainty and unconventional monetary policy," Manchester School, University of Manchester, vol. 90(3), pages 278-292, June.
    18. Christos Floros & Konstantinos Gkillas & Christoforos Konstantatos & Athanasios Tsagkanos, 2020. "Realized Measures to Explain Volatility Changes over Time," JRFM, MDPI, vol. 13(6), pages 1-19, June.
    19. Brown, William Jr. & Burdekin, Richard C.K. & Weidenmier, Marc D., 2006. "Volatility in an era of reduced uncertainty: Lessons from Pax Britannica," Journal of Financial Economics, Elsevier, vol. 79(3), pages 693-707, March.
    20. repec:wyi:journl:002087 is not listed on IDEAS
    21. Hartwell, Christopher A., 2014. "The impact of institutional volatility on financial volatility in transition economies : a GARCH family approach," BOFIT Discussion Papers 6/2014, Bank of Finland, Institute for Economies in Transition.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:82:y:2012:i:2:p:385-395. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.