Modeling and predicting Chinese stock downside risks via Gaussian mixture models and marked self-exciting point process

DOI10.1080/03610918.2021.2011922OpenAlexW4200393240MaRDI QIDQ6125018

Weiwei Zhuang, Guoxin Qiu, Lu Li

Publication date: 11 April 2024

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2021.2011922

zbMATH Keywords

Gaussian mixture modelgeneralized Pareto distributionautoregressive conditional duration modelmarked self-exciting point processpeaks over threshold model

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Economic time series analysis (91B84)

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