Realized peaks over threshold : a time-varying extreme value approach with high-frequency-based measures
Marco Bee, Debbie J. Dupuis, Luca Trapin
| Year of publication: |
2019
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|---|---|
| Authors: | Bee, Marco ; Dupuis, Debbie J. ; Trapin, Luca |
| Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 17.2019, 2, p. 254-283
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| Subject: | conditional risk measures | forecasting | peaks-over-threshold | realized volatility | tailrisk | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Risikomaß | Risk measure | Kapitaleinkommen | Capital income | Messung | Measurement | Statistische Verteilung | Statistical distribution | Schätzung | Estimation | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbz003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012054440