Tail Risk in the Chinese Vegetable Oil Market: Based on the EGAS-EVT Model
This paper uses extreme value theory and exponential generalised autoregressive score models to estimate the tail extremes of financial return series. The peak-over-threshold method based on the generalised pareto distribution is combined with the EGAS models and the nonparametric quantile method is...
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| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2022-01-01
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| Series: | Discrete Dynamics in Nature and Society |
| Online Access: | http://dx.doi.org/10.1155/2022/1904490 |
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