Przeglądanie wg słów kluczowych "Peaks over Threshold"
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Przeglądanie wg słów kluczowych "Peaks over Threshold"
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(2009-07-18)The main aim of this paper is the presentation and empirical analysis of the new approach which combines volatility models with Peaks over Threshold method that comes from extreme value theory. The new approach is applied ...
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(2009-11-15)The main aim of this paper is presentation and empirical analysis of the new approach which combines volatility models with Peaks over Threshold method. The standard volatility models better estimate medium size values of ...
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