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Event risk—Parametrization and estimation in a generalized Pareto model with time-varying thresholds

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  • Melanie Frick
  • Annabelle Kehl

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  • Melanie Frick & Annabelle Kehl, 2010. "Event risk—Parametrization and estimation in a generalized Pareto model with time-varying thresholds," Quantitative Finance, Taylor & Francis Journals, vol. 10(5), pages 455-460.
    • Handle: RePEc:taf:quantf:v:10:y:2010:i:5:p:455-460
    DOI: 10.1080/14697680903164463
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    References listed on IDEAS

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    1. Ole E. Barndorff-Nielsen, 2004. "Power and Bipower Variation with Stochastic Volatility and Jumps," Journal of Financial Econometrics, Oxford University Press, vol. 2(1), pages 1-37.
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