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~person:"Schipp, Bernhard"
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Schipp, Bernhard
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Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
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Extreme value models in a conditional duration intensity framework
Herrera, Rodrigo
;
Schipp, Bernhard
-
Sonderforschungsbereich 649: Ökonomisches Risiko, …
-
2011
. The main idea is to model the time between exceedances through an
Autoregressive
Conditional
Duration
(ACD) model, while …
Persistent link: https://www.econbiz.de/10010607137
Saved in:
2
Extreme value models in a conditional duration intensity framework
Herrera, Rodrigo
;
Schipp, Bernhard
-
2011
. The main idea is to model the time between exceedances through an
Autoregressive
Conditional
Duration
(ACD) model, while …
Persistent link: https://www.econbiz.de/10010281546
Saved in:
3
Value at risk forecasts by extreme value models in a conditional duration framework
Herrera, Rodrigo
;
Schipp, Bernhard
- In:
Journal of empirical finance
23
(
2013
),
pp. 33-47
Persistent link: https://www.econbiz.de/10010221789
Saved in:
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