Extreme value models in a conditional duration intensity framework
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More about this item
Keywords
extreme value theory; autoregressive conditional duration; value at risk; self-exciting point process; conditional intensity;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- F30 - International Economics - - International Finance - - - General
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