Cayton, Peter Julian A.; Dennis S. Mapa, Ph. D.; … - In: Journal of Advanced Studies in Finance I (2010) 2, pp. 152-152
the time-varying parameter through explanatory variables (TiVEx) - peaks over thresholds model (POT). The time varying …, 2009. Explanatory variables used were GARCH volatilities, quarter dummies, number of holiday-weekends passed, and annual …