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Modeling maxima with autoregressive conditional Fréchet model · Study

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ArticleModeling maxima with autoregressive conditional Fréchet model

Zifeng Zhao2018

OA

Articlebronze2018

Modeling maxima with autoregressive conditional Fréchet model

Zifeng Zhao · Zhengjun Zhang · Rong Chen

42 citations·0/0 files stored·Journal of Econometrics

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Financial Risk and Volatility Modeling Complex Systems and Time Series Analysis Probability and Risk Models

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References

1993Common risk factors in the returns on stocks and bonds 1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1966Equilibrium in a Capital Asset Market 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms 2002Determining the Number of Factors in Approximate Factor Models 1987Extreme Values, Regular Variation and Point Processes

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Year2018

Typearticle

Published2018-09-05

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations42

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jeconom.2018.07.004

openalex_workW2890780848

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