Combining a self-exciting point process with the truncated generalized Pareto distribution : an extreme risk analysis under price limits
Jingru Ji, Donghua Wang, Dinghai Xu, Chi Xu
| Year of publication: |
2020
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|---|---|
| Authors: | Ji, Jingru ; Wang, Donghua ; Xu, Dinghai ; Xu, Chi |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 57.2020, p. 52-70
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| Subject: | Branching process | Predictable marks | Price limits | Self-exciting point process | Truncated generalized Pareto distribution | Theorie | Theory | Statistische Verteilung | Statistical distribution | Pareto-Optimum | Pareto efficiency |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jempfin.2020.03.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012430436