Stochastic tail index model for high frequency financial data with Bayesian analysis (Q1644258)
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scientific article; zbMATH DE number 6892679
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| English | Stochastic tail index model for high frequency financial data with Bayesian analysis |
scientific article; zbMATH DE number 6892679 |
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Stochastic tail index model for high frequency financial data with Bayesian analysis (English)
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21 June 2018
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Bayesian statistics
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extreme values
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high frequency
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state space model
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tail index
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0.745724618434906
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0.7249642014503479
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0.7172396779060364
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0.7155309319496155
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