Artykuły (WNEZ) Przeglądanie wg słów kluczowych "extreme value theory"
Repozytorium Uniwersytetu Mikołaja Kopernika
Artykuły (WNEZ) Przeglądanie wg słów kluczowych "extreme value theory"
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(2016-12-28)The purpose of the research is to compare the performance of different volatility measures while used in testing for causality in risk between several emerging and mature capital markets. The following volatility estimators ...
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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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