Forecasting extreme negative returns in gold and silver: a discrete-duration approach to POT models

DOI10.1002/asmb.2759MaRDI QIDQ6581588

Katarzyna Bień-Barkowska

Publication date: 30 July 2024

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

zbMATH Keywords

value at risktail riskACD modelextreme returnsdiscrete durations

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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• Non‐monotonic hazard functions and the autoregressive conditional duration model
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• The Econometrics of Ultra-high-frequency Data
• Intensity‐based estimation of extreme loss event probability and value at risk
• Estimating value-at-risk: a point process approach
• Where does the tail begin? An approach based on scoring rules

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