Extreme-quantile tracking for financial time series (Q2451784)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Extreme-quantile tracking for financial time series |
scientific article |
Statements
Extreme-quantile tracking for financial time series (English)
0 references
4 June 2014
0 references
Bayesian analysis
0 references
conditional risk measures
0 references
financial time series
0 references
generalized Pareto distribution
0 references
Markov random field
0 references
peaks-over-threshold
0 references
quantile estimation
0 references
regime switching
0 references
statistics of extremes
0 references
value-at-risk
0 references
0 references
0 references
