TWO-COMPONENT EXTREME VALUE DISTRIBUTION FOR ASIA-PACIFIC STOCK INDEX RETURNS

DOI10.1142/S0219024906003792zbMath1138.91579MaRDI QIDQ5487836

Thierry Ané

Publication date: 12 September 2006

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

value-at-riskmixture of distributionsextreme value

Mathematics Subject Classification ID

Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

Cites Work

• Unnamed Item
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Percentiles of the $\omega_n$ Statistic
• Asymptotic Theory of Certain "Goodness of Fit" Criteria Based on Stochastic Processes

This page was built for publication: TWO-COMPONENT EXTREME VALUE DISTRIBUTION FOR ASIA-PACIFIC STOCK INDEX RETURNS