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Stochastic tail index model for high frequency financial data with Bayesian analysis
Mao, Guangyu; Zhang, Zhengjun - In: Journal of econometrics 205 (2018) 2, pp. 470-487
Persistent link: https://www.econbiz.de/10012110325
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Modeling intraday stochastic volatility and conditional duration contemporaneously with regime shifts
Trojan, Sebastian - 2014
Persistent link: https://www.econbiz.de/10010437483
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A comparative study of equilibrium equity premium under discrete distributions of jump amplitudes
Mukupa, George M.; Offen, Elias R.; Kunda, Douglas; … - In: Journal of mathematical finance 6 (2016) 1, pp. 232-246
Persistent link: https://www.econbiz.de/10011543918
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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 …
Persistent link: https://www.econbiz.de/10012604174
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Comparison of the Tails of Market Return Distributions
Koronkiewicz, Grzegorz - 2016
distributions. The second approach is based on the assumptions of the Extreme Value Theory (EVT) and the Pickands-Balkema-de Haan …
Persistent link: https://www.econbiz.de/10012978803
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A heuristic for fat-tailed stock market returns
Welch, Ivo - In: Financial analysts journal : FAJ 80 (2024) 4, pp. 18-26
Persistent link: https://www.econbiz.de/10015195218
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Modeling extreme events : time-varying extreme tail shape
D'Innocenzo, Enzo; Lucas, André; Schwaab, Bernd; Zhang, Xin - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 3, pp. 903-917
Persistent link: https://www.econbiz.de/10015053506
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Distributional properties of the book to market ratio and their implications for empirical analysis
Ma, Diandian; Melia, Adrian; Song, Xiaojing; Tippett, Mark - In: The European journal of finance 29 (2023) 11, pp. 1330-1353
Persistent link: https://www.econbiz.de/10014323009
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Comments on: Nonparametric tail risk, stock returns and the macroeconomy
Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2016
Persistent link: https://www.econbiz.de/10011518800
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Nonparametric tail risk, stock returns and the macroeconomy
Almeida, Caio; Ardison, Kym; Garcia, René; Vicente, … - 2016
Persistent link: https://www.econbiz.de/10011458735