Extreme quantile estimation for dependent data, with applications to finance

DOI10.3150/bj/1066223272zbMath1040.62077OpenAlexW2117847142MaRDI QIDQ135341

Holger Drees, Holger Drees

Publication date: 1 August 2003

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.bj/1066223272

zbMATH Keywords

time seriesconfidence intervalARMA modelGARCH modelextreme quantilesstochastic difference equationbeta mixingtail empirical quantile function

Mathematics Subject Classification ID

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