Extreme value theory versus traditional GARCH approaches applied to financial data: a comparative evaluation (Q5746742)
From MaRDI portal
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)
0 references
8 February 2014
0 references
conditional extreme value theory
0 references
tail estimation
0 references
backtesting
0 references
financial markets
0 references