The dynamic power law model
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Publication:482073
DOI10.1007/s10687-014-0193-xzbMath1311.62175OpenAlexW3123281220MaRDI QIDQ482073
Publication date: 19 December 2014
Published in: Extremes (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10687-014-0193-x
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Statistics of extreme values; tail inference (62G32)
Related Items (3)
On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures ⋮ Dynamic tail inference with log-Laplace volatility ⋮ Modeling maxima with autoregressive conditional Fréchet model
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