Multivariate Dynamic Intensity Peaks-Over-Threshold Models

Author(s)
Nikolaus Hautsch, Rodrigo Herrera Leiva
Organisation(s)
Department of Statistics and Operations Research, Research Network Data Science
External organisation(s)
Universidad de Talca, Center for Financial Studies
Journal
Journal of Applied Econometrics
Volume
35
Pages
248-272
ISSN
0883-7252
DOI
https://doi.org/10.1002/jae.2741
Publication date
2019
Peer reviewed
Yes
Austrian Fields of Science 2012
502025 Econometrics, 502009 Corporate finance
Portal url
https://ucris.univie.ac.at/portal/en/publications/multivariate-dynamic-intensity-peaksoverthreshold-models(4a924f16-b3b1-443c-8fc3-58a41e83e436).html