Extreme-quantile tracking for financial time series
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DOI: 10.1016/j.jeconom.2014.02.007
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More about this item
Keywords
Bayesian analysis; Conditional risk measures; Financial time series; Generalized Pareto distribution; Markov random field; Peaks-Over-Threshold; Quantile estimation; Regime switching; Statistics of extremes; Value-at-risk;All these keywords.
JEL classification:
- C - Mathematical and Quantitative Methods
- C - Mathematical and Quantitative Methods
- C - Mathematical and Quantitative Methods
- G - Financial Economics
- G - Financial Economics
Statistics
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