Asymptotic Excess Distribution for Time Series
Kwadwo Agyei Nyantakyi
Broschiertes Buch

Asymptotic Excess Distribution for Time Series

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Both in insurance and finance applications, questions involving extremal events such as large insurance claims, large fluctuations in financial data, stock market shocks, and risk management among others play an increasingly important role in Extreme Value Modelling, Tail data are often modeled by fitting a generalized Pareto distribution (GPD) to the exceedances over high thresholds. In practice, a threshold u is fixed and a GPD is fitted to the data exceeding u. We considered simulations from ARMA (1,1), ARCH(1) and GARCH(1,1) processes for both normal and t-distributions and using various t...