POT approach for estimation of extreme risk measures of EUR/USD returns
POT approach for estimation of extreme risk measures of EUR/USD returns
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Publisher
Hong Kong: International Academic Press (Hong Kong)
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Language
English
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Hong Kong: International Academic Press (Hong Kong)
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Contents
Leadbeter et al. (M.R.,G.Leadbetter, G.Lindgren,and H.Rootzen, Extremes and Related Properties of Random Sequences and Processes, Springer Series in Statistics. Springer-Verlag: New York, 1983.) have generalized the extreme value theory of i.i.d. in the case of the stationary process, where it have defined an extremal index $\theta\in]0,1[$ for mea...
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Full title
POT approach for estimation of extreme risk measures of EUR/USD returns
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TN_cdi_proquest_journals_2069464148
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https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_journals_2069464148
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ISSN
2311-004X
E-ISSN
2310-5070
DOI
10.19139/soic.v6i2.395
