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Generalized extreme value distribution
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Kim, Hyun-Oh
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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
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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