Modeling maxima with autoregressive conditional Fréchet model
type: Item
instance of: scholarly article
title: Modeling maxima with autoregressive conditional Fréchet model
zbMATH Open document ID: 1452.62339
author: Zifeng Zhao
author: Zhengjun Zhang
author: Rong Chen
published in: Journal of Econometrics
publication date: 2019-04-26T00:00:00Z
Mathematics Subject Classification ID: 62G32
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62P20
zbMATH DE Number: 7048274
zbMATH Keywords: extreme value theory
zbMATH Keywords: dynamic modeling
zbMATH Keywords: financial risk management
zbMATH Keywords: value at risk
zbMATH Keywords: high-frequency data
zbMATH Keywords: generalized extreme value distribution
describes a project that uses: ismev
MaRDI profile type: Publication
full work available at URL: j.jeconom.2018.07.004
OpenAlex ID: W2890780848
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DOI: 10.1016/J.JECONOM.2018.07.004
description: scientific article; zbMATH DE number 7048274