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Smooth-transition regression models for non-stationary extremes

Julien Hambuckers, and Thomas Kneib
Year of publication:
2023
Authors: Hambuckers, Julien ; Kneib, Thomas
Subject: extreme value theory | generalized Pareto distribution | operational risk | VIX | Ausreißer | Outliers | Statistische Verteilung | Statistical distribution | Theorie | Theory | Operationelles Risiko | Operational risk | Risikomaß | Risk measure | Risikomanagement | Risk management | Regressionsanalyse | Regression analysis
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