Extreme value statistics and recurrence intervals of NYMEX energy futures volatility
Year of publication: |
2014
|
---|---|
Authors: | Xie, Wen-jie ; Jiang, Zhi-qiang ; Zhou, Wei-xing |
Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 36.2014, p. 8-17
|
Subject: | Extreme volatility | Risk estimation | Recurrence interval | Distribution | Memory | Volatilität | Volatility | Ausreißer | Outliers | Rohstoffderivat | Commodity derivative | Statistische Verteilung | Statistical distribution | Theorie | Theory | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model |
-
Estimating and forecasting conditional risk measures with extreme value theory : a review
Bee, Marco, (2018)
-
Forecasting VaR models under different volatility processes and distributions of return innovations
Dendramis, Yiannis, (2014)
-
Makatjane, Katleho, (2021)
- More ...
-
Statistical Properties and Pre-hit Dynamics of Price Limit Hits in the Chinese Stock Markets
Wan, Yu-Lei, (2015)
-
Correlation structure and principal components in global crude oil market
Dai, Yue-Hua, (2014)
-
Extreme value statistics and recurrence intervals of NYMEX energy futures volatility
Xie, Wen-Jie, (2012)
- More ...