Modeling maxima with a regime-switching Fréchet model
Keqi Tan, Yu Chen and Pengzhan Chen
| Year of publication: |
2022
|
|---|---|
| Authors: | Tan, Keqi ; Chen, Yu ; Chen, Pengzhan |
| Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 25.2022, 2, p. 27-45
|
| Subject: | tail risk | maxima | Fréchet distribution | regime switching | generalized extreme value (GEV) framework | Markov-Kette | Markov chain | Statistische Verteilung | Statistical distribution | Theorie | Theory | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JOR.2022.045 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014342458