A new quantile function based model for modeling price behaviors in financial markets

DOI10.4310/SII.2008.V1.N2.A10zbMath1230.91195MaRDI QIDQ660066

Gemai Chen, Wenjiang Jiang, Zhenyu Wu

Publication date: 25 January 2012

Published in: Statistics and Its Interface (Search for Journal in Brave)

zbMATH Keywords

quantile functiontail modelingtail property

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Statistics of extreme values; tail inference (62G32)

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