Application of autoregressive tail-index model to China's stock market

DOI10.1080/24754269.2020.1862586OpenAlexW3134534676MaRDI QIDQ5880056

Jing-Yu Ji, Deyuan Li

Publication date: 7 March 2023

Published in: Statistical Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/24754269.2020.1862586

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (2)

Rejoinder of “On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures” ⋮ Partially linear single-index model in the presence of measurement error

Cites Work

• Modeling maxima with autoregressive conditional Fréchet model

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