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Bootstrapping time-varying uncertainty intervals for extreme daily return periods
Makatjane, Katleho
- In:
International Journal of Financial Studies : open …
10
(
2022
)
1
,
pp. 1-23
score-generalized
extreme
value
distribution
(SARIMA-GAS-GEVD) with a skewed student-t distribution had the best prediction …
Persistent link: https://www.econbiz.de/10012804913
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2
Predicting extreme daily regime shifts in financial time series exchange/Johannesburg stock exchange : all share index
Makatjane, Katleho
;
Moroke, Ntebogang Dinah
- In:
International Journal of Financial Studies : open …
9
(
2021
)
2
,
pp. 1-18
heteroscedasticity-generalised
extreme
value
distribution
(SARIMA-MS-EGARCH-GEVD) estimates. A time series of the study is a five …
Persistent link: https://www.econbiz.de/10012508859
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