Self-exciting extreme value models for stock market crashes
Rodrigo Herrera and Bernhard Schipp
| Year of publication: |
2009
|
|---|---|
| Authors: | Herrera, Rodrigo ; Schipp, Bernhard |
| Published in: |
Statistical inference, econometric analysis and matrix algebra : Festschrift in honour of Götz Trenkler. - Heidelberg : Springer Physica-Verl., ISBN 3-7908-2120-9. - 2009, p. 209-231
|
| Subject: | Backtesting | Börsenkurs | Share price | Risiko | Risk | Messung | Measurement | Finanzkrise | Financial crisis | Ausreißer | Outliers | Theorie | Theory | Schätzung | Estimation | Aktienmarkt | Stock market | USA | United States | Hongkong | Hong Kong |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003781013