Generalized Extreme Value Distribution with Time-Dependence Using the AR and MA Models in State Space Form
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- Nakajima, Jouchi & Kunihama, Tsuyoshi & Omori, Yasuhiro & Frühwirth-Schnatter, Sylvia, 2012. "Generalized extreme value distribution with time-dependence using the AR and MA models in state space form," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3241-3259.
- Jouchi Nakajima & Tsuyoshi Kunihama & Yasuhiro Omori & Sylvia Fruhwirth-Schnatter, 2009. "Generalized extreme value distribution with time-dependence using the AR and MA models in state space form," CIRJE F-Series CIRJE-F-689, CIRJE, Faculty of Economics, University of Tokyo.
- Jouchi Nakajima & Tsuyoshi Kunihama & Yasuhiro Omori & Sylvia Fruhwirth-Schnatter, 2011. "Generalized Extreme Value Distribution with Time-Dependence Using the AR and MA Models in State Space Form," CIRJE F-Series CIRJE-F-782, CIRJE, Faculty of Economics, University of Tokyo.
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Auray, Stéphane & Eyquem, Aurélien & Jouneau-Sion, Frédéric, 2014.
"Modeling tails of aggregate economic processes in a stochastic growth model,"
Computational Statistics & Data Analysis,
Elsevier, vol. 76(C), pages 76-94.
- Stéphane Auray & Aurélien Eyquem & Fréderic Jouneau-Sion, 2012. "Modelling Tails of Aggregated Economic Processes in a Stochastic Growth Model," Working Papers 2012-29, Center for Research in Economics and Statistics.
- Stéphane Auray & Aurélien Eyquem & Frédéric Jouneau-Sion, 2014. "Modelling Tails of Aggregated Economic Processes in a Stochastic Growth Model," Post-Print halshs-00995703, HAL.
- repec:eee:phsmap:v:490:y:2018:i:c:p:754-773 is not listed on IDEAS
- Wang, Yixin & So, Mike K.P., 2016. "A Bayesian hierarchical model for spatial extremes with multiple durations," Computational Statistics & Data Analysis, Elsevier, vol. 95(C), pages 39-56.
More about this item
KeywordsExtreme values; Generalized extreme value distribution; Markov chain Monte Carlo; Mixture sampler; State space model; Stock returns;
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-11-27 (All new papers)
- NEP-ECM-2009-11-27 (Econometrics)
- NEP-ETS-2009-11-27 (Econometric Time Series)
- NEP-ORE-2009-11-27 (Operations Research)
- NEP-RMG-2009-11-27 (Risk Management)
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