Extreme-quantile tracking for financial time series
Year of publication: |
2014
|
---|---|
Authors: | Chavez-Demoulin, V. ; Embrechts, Paul ; Sardy, S. |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 181.2014, 1, p. 44-52
|
Subject: | Bayesian analysis | Conditional risk measures | Financial time series | Generalized Pareto distribution | Markov random field | Peaks-Over-Threshold | Quantile estimation | Regime switching | Statistics of extremes | Value-at-risk | Statistische Verteilung | Statistical distribution | Risikomaß | Risk measure | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Markov-Kette | Markov chain | Schätzung | Estimation | Bayes-Statistik | Bayesian inference | Stochastischer Prozess | Stochastic process |
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