Combining a self-exciting point process with the truncated generalized Pareto distribution: An extreme risk analysis under price limits
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DOI: 10.1016/j.jempfin.2020.03.003
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Cited by:
- Candia, Claudio & Herrera, Rodrigo, 2024. "An empirical review of dynamic extreme value models for forecasting value at risk, expected shortfall and expectile," Journal of Empirical Finance, Elsevier, vol. 77(C).
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More about this item
Keywords
Self-exciting point process; Truncated generalized Pareto distribution; Predictable marks; Price limits; Branching process;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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