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  • Search: subject:"Multiplier block bootstrap"
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ARCH model 1 ARCH-Modell 1 Bootstrap approach 1 Bootstrap-Verfahren 1 Börsenkurs 1 Estimation theory 1 Financial market 1 Financial time series 1 Finanzmarkt 1 Heavy-tails 1 Multiplier 1 Multiplier block bootstrap 1 Multiplikator 1 Regular variation 1 Schock 1 Schätztheorie 1 Share price 1 Shock 1 Shock persistence 1 Stationary time series 1 Statistical distribution 1 Statistische Verteilung 1 Tail process 1 Time series analysis 1 Volatility 1 Volatilität 1 Zeitreihenanalyse 1
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Article in journal 1 Aufsatz in Zeitschrift 1
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English 1
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Davis, Richard A. 1 Drees, Holger 1 Segers, Johan 1 Warchoł, Michał 1
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Journal of econometrics 1
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Inference on the tail process with application to financial time series modeling
Davis, Richard A.; Drees, Holger; Segers, Johan; … - In: Journal of econometrics 205 (2018) 2, pp. 508-525
Persistent link: https://www.econbiz.de/10012110330
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