Modeling maxima with autoregressive conditional Fréchet model
Zifeng Zhao, Zhengjun Zhang, Rong Chen
| Year of publication: |
2018
|
|---|---|
| Authors: | Zhao, Zifeng ; Zhang, Zhengjun ; Chen, Rong |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 207.2018, 2, p. 325-351
|
| Subject: | Dynamic modeling | Extreme value theory | Financial risk management | Generalized extreme value distribution | High-frequency data | Value at risk | Risikomaß | Risk measure | Theorie | Theory | Ausreißer | Outliers | Statistische Verteilung | Statistical distribution | Risikomanagement | Risk management | ARCH-Modell | ARCH model | Schätzung | Estimation | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2018.07.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012116357