Extreme value theory versus traditional GARCH approaches applied to financial data: a comparative evaluation (Q5746742): Difference between revisions
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| Property / cites work: A conditional extreme value volatility estimator based on high-frequency returns / rank | |||
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| Property / cites work: Conditional tail behaviour and Value at Risk / rank | |||
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| Property / cites work: Estimating value-at-risk: a point process approach / rank | |||
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| Property / cites work: An introduction to statistical modeling of extreme values / rank | |||
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| Property / cites work: An application of extreme value theory for measuring financial risk / rank | |||
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| Property / cites work: Statistical inference using extreme order statistics / rank | |||
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Latest revision as of 08:54, 7 July 2024
scientific article; zbMATH DE number 6256459
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Extreme value theory versus traditional GARCH approaches applied to financial data: a comparative evaluation |
scientific article; zbMATH DE number 6256459 |
Statements
Extreme value theory versus traditional GARCH approaches applied to financial data: a comparative evaluation (English)
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8 February 2014
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conditional extreme value theory
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tail estimation
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backtesting
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financial markets
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