Predicting the tail behavior of financial times stock exchange/Johannesburg Stock Exchange (FTSE/JSE) closing banking indices : extreme value theory approach
Year of publication: |
2021
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Authors: | Makatjane, Katleho ; Moroke, Ntebogang Dinah ; Munapo, Elias |
Published in: |
Handbook of research on emerging theories, models, and applications of financial econometrics. - Cham, Switzerland : Springer, ISBN 978-3-030-54107-1. - 2021, p. 31-64
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Subject: | Block minima method | Extreme value theory | Fat-tail | Generalized extreme value | Generalized Pareto distribution | Independently and identically distributed | Maximum likelihood estimation | MS(2)-EGARCH(p | q) | Volatility clustering | Statistische Verteilung | Statistical distribution | Ausreißer | Outliers | Theorie | Theory | Risikomaß | Risk measure | Volatilität | Volatility | ARCH-Modell | ARCH model | Maximum-Likelihood-Schätzung | Börsenkurs | Share price | Kapitaleinkommen | Capital income | Prognoseverfahren | Forecasting model | Wahrscheinlichkeitsrechnung | Probability theory |
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