Modeling maxima with autoregressive conditional Fréchet model
From MaRDI portal
Publication:1739592
DOI10.1016/j.jeconom.2018.07.004zbMath1452.62339OpenAlexW2890780848MaRDI QIDQ1739592
Zhengjun Zhang, Zifeng Zhao, Rong Chen
Publication date: 26 April 2019
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2018.07.004
extreme value theoryhigh-frequency datageneralized extreme value distributionfinancial risk managementvalue at riskdynamic modeling
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32)
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Uses Software
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