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Multivariate dynamic intensity peaks-over-threshold models
Hautsch, Nikolaus
;
Herrera, Rodrigo
-
2015
of the multivariate intensity process using autoregressive
conditional
intensity
and Hawkes-type specifications. Likewise …
Persistent link: https://www.econbiz.de/10011336494
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2
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
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