On monitoring financial stress index with extreme value theory

DOI10.1080/14697681003792229zbMath1278.91188OpenAlexW2079030356MaRDI QIDQ2873014

Mohamed El Ghourabi, Mohamed Limam, Amira Dridi

Publication date: 17 January 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697681003792229

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Statistics of extreme values; tail inference (62G32)

Related Items

A new financial stress index model based on support vector regression and control chart

Cites Work

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