Modeling multivariate extreme events using self-exciting point processes
Oliver Grothe; Volodymyr Korniichuk; Hans Manner
| Year of publication: |
2014
|
|---|---|
| Authors: | Grothe, Oliver ; Korniichuk, Volodymyr ; Manner, Hans |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 182.2014, 2, p. 269-289
|
| Subject: | Time series | Peaks-over-threshold | Hawkes processes | Extreme value theory | Ausreißer | Outliers | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Risikomaß | Risk measure | Multivariate Analyse | Multivariate analysis | Wahrscheinlichkeitsrechnung | Probability theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010497083