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