A change-point approach for the identification of financial extreme regimes

DOI10.1214/21-BJPS509zbMath1483.91222arXiv1902.09205MaRDI QIDQ2077439

Manuele Leonelli, Chiara Lattanzi

Publication date: 21 February 2022

Published in: Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1902.09205

zbMATH Keywords

threshold estimationhigh quantilesfinancial returnsGPD distributionextreme value mixture models

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Financial markets (91G15)

Uses Software

• changepoint
• MSC
• MCS

Cites Work

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