Bayesian analysis of tail asymmetry based on a threshold extreme value model
From MaRDI portal
Publication:1621333
DOI10.1016/j.csda.2013.02.008zbMath1471.62186MaRDI QIDQ1621333
Mike K. P. So, Raymond K. S. Chan
Publication date: 8 November 2018
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2013.02.008
62-08: Computational methods for problems pertaining to statistics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
62F15: Bayesian inference