Extreme value theory versus traditional GARCH approaches applied to financial data: a comparative evaluation (Q5746742)
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scientific article; zbMATH DE number 6256459
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Extreme value theory versus traditional GARCH approaches applied to financial data: a comparative evaluation |
scientific article; zbMATH DE number 6256459 |
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Extreme value theory versus traditional GARCH approaches applied to financial data: a comparative evaluation (English)
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8 February 2014
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conditional extreme value theory
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tail estimation
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backtesting
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financial markets
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