Joint threshold exceedances of stock index returns in bull and bear preriods

zbMath1055.62116MaRDI QIDQ1762908

Harald Schmidbauer, Angi Rösch

Publication date: 11 February 2005

Published in: CEJOR. Central European Journal of Operations Research (Search for Journal in Brave)

zbMATH Keywords

generalized Pareto distributiondaily stock index returnsjoint threshold exceedanceslogistic dependence function

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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