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Predicting the tail behavior of financial times stock exchange/Johannesburg Stock Exchange (FTSE/JSE) closing banking indices : extreme value theory approach
Makatjane, Katleho; Moroke, Ntebogang Dinah; Munapo, Elias - In: Handbook of research on emerging theories, models, and …, (pp. 31-64). 2021
apply extreme value theory (EVT) distributions to predict extreme losses of five South African (SA) financial times stock … independently and identically distributed (i.i.d). It is therefore concluded that the generalized Pareto distribution (GPD) is a …
Persistent link: https://www.econbiz.de/10012604174
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Interplay between distributional and temporal dependence : an empirical study with high-frequency asset returns
Bingham, Nick H.; Schmidt, Rafael - In: From stochastic calculus to mathematical finance : the …, (pp. 69-90). 2006
Persistent link: https://www.econbiz.de/10003287150
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Modeling dependencies with copulae
Härdle, Wolfgang; Okhrin, Ostap; Okhrin, Yarema - In: Applied quantitative finance, (pp. 3-36). 2009
Persistent link: https://www.econbiz.de/10003745932
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Construction and backtesting of a multi-factor stress-scenario for the stock market
Boldyrev, Kirill; Andrianov, Dmitry; Ivliev, Sergey - In: Financial econometrics and empirical market microstructure, (pp. 37-45). 2015
Persistent link: https://www.econbiz.de/10011326724
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Kernel estimation of financial time series
Hafner, Christian M. - In: Quantitative Verfahren im Finanzmarktbereich, (pp. 223-239). 1996
Persistent link: https://www.econbiz.de/10001319158
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Modeling time-varying beta in a sustainable stock market with a three-regime threshold GARCH model
Jawadi, Fredj; Louhichi, Wael; Cheffou, Abdoulkarim Idi; … - In: Decision making and risk/return optimization in …, (pp. 275-295). 2019
Persistent link: https://www.econbiz.de/10012134816
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A minimal noise trader model with realistic time series properties
Alfarano, Simone; Lux, Thomas - In: Long memory in economics : with 50 tables, (pp. 345-361). 2006
Persistent link: https://www.econbiz.de/10003357267
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Predictive recursion maximum likelihood of threshold autoregressive model
Pathairat Pastpipatkul; Woraphon Yamaka; Songsak … - In: Robustness in econometrics, (pp. 349-362). 2017
Persistent link: https://www.econbiz.de/10011801427
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Subordinated stock price models: heavy tails and long-range dependence in the high-frequency Deutschen Bank price record
Marinelli, Carlo (contributor) - In: Datamining und computational finance : Ergebnisse des …, (pp. 69-94). 2000
Persistent link: https://www.econbiz.de/10001484269
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Statistical properties of absolute log-returns and a stochastic model of stock markets with heterogeneous agents
Kaizoji, Taisei - In: Nonlinear dynamics and heterogeneous interacting agents …, (pp. 237-248). 2005
Persistent link: https://www.econbiz.de/10002775656