Extreme quantile estimation for \(\beta\)-mixing time series and applications (Q1622510)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Extreme quantile estimation for \(\beta\)-mixing time series and applications |
scientific article |
Statements
Extreme quantile estimation for \(\beta\)-mixing time series and applications (English)
0 references
19 November 2018
0 references
asymptotic normality
0 references
\(\beta\)-mixing
0 references
extreme value index
0 references
GARCH models
0 references
high quantile
0 references
return level
0 references
value-at-risk
0 references
0 references
0 references