Modeling maxima with autoregressive conditional Fréchet model (Q1739592)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Modeling maxima with autoregressive conditional Fréchet model |
scientific article; zbMATH DE number 7048274
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Modeling maxima with autoregressive conditional Fréchet model |
scientific article; zbMATH DE number 7048274 |
Statements
Modeling maxima with autoregressive conditional Fréchet model (English)
0 references
26 April 2019
0 references
extreme value theory
0 references
dynamic modeling
0 references
financial risk management
0 references
value at risk
0 references
high-frequency data
0 references
generalized extreme value distribution
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0.7462977766990662
0 references
0.7453659176826477
0 references
0.7437373995780945
0 references
0.742989718914032
0 references
