A change-point approach for the identification of financial extreme regimes (Q2077439): Difference between revisions
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Revision as of 13:06, 29 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A change-point approach for the identification of financial extreme regimes |
scientific article |
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A change-point approach for the identification of financial extreme regimes (English)
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21 February 2022
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extreme value mixture models
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financial returns
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GPD distribution
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high quantiles
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threshold estimation
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