Generalized Extreme Value Distribution with Time-Dependence Using the AR and MA Models in State Space Form
Year of publication: |
2009-11
|
---|---|
Authors: | Nakajima, Jouchi ; Kunihama, Tsuyoshi ; Omori, Yasuhiro ; Fruwirth-Scnatter, Sylvia |
Institutions: | Institute for Monetary and Economic Studies, Bank of Japan |
Subject: | Extreme values | Generalized extreme value distribution | Markov chain Monte Carlo | Mixture sampler | State space model | Stock returns |
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