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Bootstrapping time-varying uncertainty intervals for extreme daily return periods
Makatjane, Katleho
- In:
International Journal of Financial Studies
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/10013200409
Saved in:
2
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:
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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