Predicting the Tail Behavior of Financial Times Stock Exchange/Johannesburg Stock Exchange (FTSE/JSE) Closing Banking Indices: Extreme Value Theory Approach (Q5049418)
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scientific article; zbMATH DE number 7615528
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Predicting the Tail Behavior of Financial Times Stock Exchange/Johannesburg Stock Exchange (FTSE/JSE) Closing Banking Indices: Extreme Value Theory Approach |
scientific article; zbMATH DE number 7615528 |
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Predicting the Tail Behavior of Financial Times Stock Exchange/Johannesburg Stock Exchange (FTSE/JSE) Closing Banking Indices: Extreme Value Theory Approach (English)
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11 November 2022
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extreme value theory
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\(\mathrm{MS(2)}\)-\(\mathrm{EGARCH}(p,q)\)
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fat-tail
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volatility clustering
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generalized extreme value
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generalized Pareto distribution
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independently and identically distributed
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block minima method
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maximum likelihood estimation
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