A multiobjective optimization approach for threshold determination in extreme value analysis for financial time series
Carlin C.F. Chu, Simon S.W. Li
| Year of publication: |
2024
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|---|---|
| Authors: | Chu, Carlin C. F. ; Li, Simon S. W. |
| Published in: |
Computational management science. - Heidelberg : Springer, ISSN 1619-6988, ZDB-ID 2107564-5. - Vol. 21.2024, 1, Art.-No. 7, p. 1-14
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| Subject: | EVT | Generalized pareto distribution | Goal programming model | Multiple criteria decision analysis | Peaks over threshold | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Multikriterielle Entscheidungsanalyse | Multi-criteria analysis | Statistische Verteilung | Statistical distribution |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10287-023-00488-6 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014442615