Event risk—Parametrization and estimation in a generalized Pareto model with time-varying thresholds
Year of publication: |
2010
|
---|---|
Authors: | Frick, Melanie ; Kehl, Annabelle |
Published in: |
Quantitative Finance. - Taylor & Francis Journals, ISSN 1469-7688. - Vol. 10.2010, 5, p. 455-460
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Publisher: |
Taylor & Francis Journals |
Saved in:
Online Resource
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