Generalized Pareto processes and fund liquidity risk

DOI10.1080/14697688.2017.1410214zbMath1400.91658arXiv1702.06993OpenAlexW2793357235MaRDI QIDQ4554499

Frank Thomas Seifried, Sascha Desmettre, Johan de Kock, Peter Ruckdeschel

Publication date: 14 November 2018

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

Full work available at URL: https://arxiv.org/abs/1702.06993

zbMATH Keywords

liquidity riskARGP processdata features

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Related Items (1)

Bivariate integer-autoregressive process with an application to mutual fund flows

Uses Software

• R
• ismev

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The generalized Pareto process; with a view towards application and simulation
• Methods for merging Gaussian mixture components
• Model assessment tools for a model false world
• Don't shed tears over breaks
• Kernel estimates of the tail index of a distribution
• Functional regular variations, Pareto processes and peaks over threshold
• Selecting the optimal sample fraction in univariate extreme value estimation
• New goodness-of-fit tests and their application to nonparametric confidence sets
• Explosive Poisson shot noise processes with applications to risk reserves
• Shot-noise driven multivariate default models
• Shot-noise processes and the minimal martingale measure
• A SHOT NOISE MODEL FOR FINANCIAL ASSETS
• Maximum likelihood estimation in a class of nonregular cases
• Pareto processes
• Refined pickands estimators wtth bias correction
• Data features1

This page was built for publication: Generalized Pareto processes and fund liquidity risk