Modeling extreme events : time-varying extreme tail shape
Enzo D'Innocenzo, André Lucas, Bernd Schwaab, and Xin Zhang
| Year of publication: |
2024
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|---|---|
| Authors: | D'Innocenzo, Enzo ; Lucas, André ; Schwaab, Bernd ; Zhang, Xin |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 42.2024, 3, p. 903-917
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| Subject: | Dynamic tail risk | Extreme value theory | Observation-driven models | Securities Markets Programme (SMP) | Stock return tails | Ausreißer | Outliers | Statistische Verteilung | Statistical distribution | Risikomaß | Risk measure | Kapitaleinkommen | Capital income | Börsenkurs | Share price | Theorie | Theory | Wahrscheinlichkeitsrechnung | Probability theory | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2023.2260439 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015053506