Regular Variation and Extremal Dependence of GARCH Residuals with Application to Market Risk Measures
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- So, Mike K.P. & Chan, Raymond K.S., 2014. "Bayesian analysis of tail asymmetry based on a threshold extreme value model," Computational Statistics & Data Analysis, Elsevier, vol. 71(C), pages 568-587.
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More about this item
KeywordsDeclustering; Expected shortfalls; Extremal dependence; Generalized Pareto distribution; Regular variation; Value-at-Risk;
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