Forecasting value-at-risk with a duration-based POT method (Q2227456)
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scientific article; zbMATH DE number 7310468
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Forecasting value-at-risk with a duration-based POT method |
scientific article; zbMATH DE number 7310468 |
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Forecasting value-at-risk with a duration-based POT method (English)
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15 February 2021
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quantitative risk management
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statistics of extremes
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financial time series
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0.9484806656837464
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0.7856670618057251
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0.784957230091095
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0.773750364780426
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0.773750364780426
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