Stochastic tail index model for high frequency financial data with Bayesian analysis
type: Item
instance of: scholarly article
title: Stochastic tail index model for high frequency financial data with Bayesian analysis
zbMATH Open document ID: 1452.62781
author: Guangyu Mao
author: Zhengjun Zhang
published in: Journal of Econometrics
publication date: 2018-06-21T00:00:00Z
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62F15
Mathematics Subject Classification ID: 62G32
Mathematics Subject Classification ID: 62M10
zbMATH DE Number: 6892679
zbMATH Keywords: Bayesian statistics
zbMATH Keywords: extreme values
zbMATH Keywords: high frequency
zbMATH Keywords: state space model
zbMATH Keywords: tail index
MaRDI profile type: Publication
full work available at URL: j.jeconom.2018.03.019
OpenAlex ID: W2802174541
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Wikidata QID: Q129915196
DOI: 10.1016/J.JECONOM.2018.03.019
description: scientific article; zbMATH DE number 6892679