Risk forecasting in the context of time series
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Publication:2304433
DOI10.1007/s10986-019-09467-4zbMath1448.60039OpenAlexW2990948924MaRDI QIDQ2304433
Gennady Samorodnitsky, Xiaoyang Lu
Publication date: 11 March 2020
Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10986-019-09467-4
Applications of statistics to actuarial sciences and financial mathematics (62P05) Extreme value theory; extremal stochastic processes (60G70) Probability distributions: general theory (60E05)
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