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Modeling tail index with autoregressive conditional Pareto model
Shen, Zhouyu; Chen, Yu; Shi, Ruxin - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 1, pp. 458-466
Persistent link: https://www.econbiz.de/10012804135
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Dynamic bivariate peak over threshold model for joint tail risk dynamics of financial markets
Zhao, Zifeng - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 4, pp. 892-906
Persistent link: https://www.econbiz.de/10012653200
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Modeling maxima with autoregressive conditional Fréchet model
Zhao, Zifeng; Zhang, Zhengjun; Chen, Rong - In: Journal of econometrics 207 (2018) 2, pp. 325-351
Persistent link: https://www.econbiz.de/10012116357