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Generalized extreme value distribution
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generalized extreme value distribution
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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
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
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3
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
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4
Option implied tail index and volatility based on heavy-tailed distributions : evidence from KOSPI 200 index options market
Kim, Joocheol
;
Kim, Hyun-Oh
- In:
Global economic review
43
(
2014
)
3
,
pp. 269-284
Persistent link: https://www.econbiz.de/10010509739
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