Chavez-Demoulin, V.; Embrechts, P.; Sardy, S. - In: Journal of Econometrics 181 (2014) 1, pp. 44-52
Time series of financial asset values exhibit well-known statistical features such as heavy tails and volatility clustering. We propose a nonparametric extension of the classical Peaks-Over-Threshold method from extreme value theory to fit the time varying volatility in situations where the...