EVIM swMATH ID: 255 Software Authors: Gena̧y, Ramazan; Selu̧k, Faruk; Ulugülyagci, Abdurrahman Description: EVIM: a software package for extremel value analysis in MATLAB. From the practitioners’ point of view, one of the most interesting questions that tail studies can answer is what are the extreme movements that can be expected in financial markets? Have we already seen the largest ones or are we going to experience even larger movements? Are there theoretical processes that can model the type of fat tails that come out of our empirical analysis? Answers to such questions are essential for sound risk management of financial exposures. It turns out that we can answer these questions within the framework of the extreme value theory. This paper provides a step-by-step guideline for extreme value analysis in the MATLAB environment with several examples. Homepage: http://www.tech.plym.ac.uk/spmc/links/matlab/matlab_toolbox.html Programming Languages: MATLAB Dependencies: MATLAB Keywords: extreme value theory; risk management; software Related Software: ismev; WAFO; Matlab; longmemo; lmomco; copula; fExtremes; evdbayes; TestEVC1d; texmex; evd; SpatialExtremes; evir; RMetrics; POT; copula; LMOMENTS; VGAM; R; CYSTRATI Cited in: 9 Publications Standard Articles 1 Publication describing the Software, including 1 Publication in zbMATH Year EVIM: a software package for extremel value analysis in MATLAB. Zbl 1079.91541Gençay, Ramazan; Selçuk, Faruk; Ulugülyagci, Abdurrahman 2001 all top 5 Cited by 18 Authors 2 Gencay, Ramazan 2 Selçuk, Faruk 2 Ulugülyaǧci, Abdurrahman 1 Duran, Ahmet 1 Gilleland, Eric 1 Gilli, Manfred 1 İzgi, Burhaneddin 1 Këllezi, Evis 1 Lü, Zhaoyang 1 Ma, Zhuanzhuan 1 Markose, Sheri 1 Martinez Jaramillo, Serafin 1 Mudelsee, Manfred 1 Ribatet, Mathieu 1 Smirnov, Veniamin 1 Stephenson, Alec G. 1 Tsang, Edward P. K. 1 Volchenkov, Dimitri Yu. all top 5 Cited in 8 Serials 1 Journal of Computational and Applied Mathematics 1 Mathematics and Computers in Simulation 1 Insurance Mathematics & Economics 1 Computational Economics 1 Studies in Nonlinear Dynamics and Econometrics 1 Extremes 1 Communications in Nonlinear Science and Numerical Simulation 1 Atmospheric and Oceanographic Sciences Library Cited in 5 Fields 7 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 4 Statistics (62-XX) 2 Probability theory and stochastic processes (60-XX) 1 Numerical analysis (65-XX) 1 Geophysics (86-XX) Citations by Year