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Search: subject:"extreme value distribution"
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ARCH model
Extreme value distribution
27
Statistical distribution
19
Statistische Verteilung
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extreme value distribution
18
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16
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16
Generalized extreme value distribution
15
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generalized extreme value distribution
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extreme value theory
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generalised extreme value distribution
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Makatjane, Katleho
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Doornik, Jurgen A.
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ECONIS (ZBW)
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1
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
Saved in:
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
Saved in:
3
Modeling maxima with autoregressive conditional Fréchet model
Zhao, Zifeng
;
Zhang, Zhengjun
;
Chen, Rong
- In:
Journal of econometrics
207
(
2018
)
2
,
pp. 325-351
Persistent link: https://www.econbiz.de/10012116357
Saved in:
4
Volatility modeling of real Gdp growth rates in South Africa
Sigauke, Caston
- In:
Economics, management and financial markets
8
(
2013
)
2
,
pp. 81-84
Persistent link: https://www.econbiz.de/10011542998
Saved in:
5
Semi-parametric method for estimating tail related risk measures in the stock market
Lee, Ho Jin
- In:
The Korean economic review
32
(
2016
)
2
,
pp. 295-329
Persistent link: https://www.econbiz.de/10011649371
Saved in:
6
Outlier detection in GARCH models
Doornik, Jurgen A.
;
Ooms, Marius
-
2005
extreme
value
distribution
, so that computation of p-values does not require simulation. The procedure outperforms alternative …
Persistent link: https://www.econbiz.de/10011346470
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