Modeling maxima with autoregressive conditional Fréchet model (Q1739592)
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scientific article; zbMATH DE number 7048274
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Modeling maxima with autoregressive conditional Fréchet model |
scientific article; zbMATH DE number 7048274 |
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Modeling maxima with autoregressive conditional Fréchet model (English)
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26 April 2019
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extreme value theory
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dynamic modeling
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financial risk management
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value at risk
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high-frequency data
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generalized extreme value distribution
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