Event risk—Parametrization and estimation in a generalized Pareto model with time-varying thresholds
| Year of publication: |
2010
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|---|---|
| Authors: | Frick, Melanie ; Kehl, Annabelle |
| Published in: |
Quantitative Finance. - Taylor & Francis Journals, ISSN 1469-7688. - Vol. 10.2010, 5, p. 455-460
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| Publisher: |
Taylor & Francis Journals |
| Extent: | text/html |
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| Type of publication: | Article |
| Source: |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10008675068