Hautsch-Herrera-appendix.pdf
Creators:
Nikolaus Hautsch
;
Rodrigo Herrera
From the dataset abstract
We propose a multivariate dynamic intensity peaks-over-threshold model to capture extremes in multivariate return processes. The random occurrence of extremes is modeled by a multivariate...
Source: Multivariate dynamic intensity peaks‐over‐threshold models (replication data)
Metadata
| Field | Value |
|---|---|
| Format | application/pdf |
| License | CC-BY 4.0 |
| URL | https://journaldata.zbw.eu/dataset/68d94bc3-5f2a-4925-8d93-bdbfcadff004/resource/0444ff79-d462-45d8-b3bd-a1505692e155/download/hautsch-herrera-appendix.pdf |
| Last updated | November 23, 2022 |
| Created | November 23, 2022 |
