Intensity‐based estimation of extreme loss event probability and value at risk
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Publication:5414534
DOI10.1002/ASMB.1915zbMath1285.62054OpenAlexW3037357260MaRDI QIDQ5414534
Kamal Hamidieh, George Michailidis, Stilian A. Stoev
Publication date: 6 May 2014
Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/2027.42/98332
heavy tailsgeneralized Pareto distributionvalue at riskclustering of extremesautoregressive conditional durationself-exciting point processes
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistics of extreme values; tail inference (62G32)
Uses Software
Cites Work
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